臺灣博碩士論文加值系統

To examine the extent to which misvaluation and/or investment opportunities motivates stock repurchase decisions, we follow Rhodes-Kropf, Robinson and Viswanathan (2005) to decompose market-to-book ratios into three components: the firm-specific pricing deviation from short-run industry pricing, short-run sector deviations form firm’s long-run pricing, and long-run value-to-book. We find that stock repurchasing firms have greater undervaluation and growth opportunities relative to matching firms. We also find that announcing firms with low firm-specific error and total error have higher announcement-period returns and long-run performances. However, our evidences do not support the free cash-flow and dividend substitution hypotheses. Overall, we suggest that undervaluation is the most important reason to explain why firms repurchase their shares.

1. Introduction..............................................................1
2. Literature reviews........................................................4
A. Excess Free Cash-flow Hypothesis......................................4
B. Dividend Substitution Hypothesis......................................6
C. Signaling Hypothesis..................................................7
D. Optimal Leverage Ratio Hypothesis.....................................9
E. Management Incentive and Employee Options.............................9
3. Data.....................................................................10
4. Methodology..............................................................12
4.1 RKRV methodology....................................................12
4.1.1 Decomposing market-to-book ratio.............................12
4.1.2 Estimating true market value.................................14
4.2 Performance measurement.............................................15
4.2.1 Short-run performance........................................15
4.2.2 The relationship between announcement return and three
components of M/B............................................16
4.2.3 The buy-and-hold abnormal returns (BHARs) approach...........18
4.2.4 Fame and French three-factor model...........................20
5. Empirical results........................................................21
5.1 Market-to-book ration of announcing firms: growth opportunities vs.
misevaluation.......................................................21
5.2 Short-run performance...............................................23
5.2.1 Announcement return of stock repurchases......................23
5.2.2 Announcement returns and repurchasing characteristics.........24
5.3 Long-run performance................................................26
5.3.1 The long-run performance of BHAR approach.....................26
5.3.2 The long-run performance of monthly calendar-time
three-factor regressions......................................27
5.4 The source of long-run stock price gains in stock repurchases.......29
5. Summary and conclusion...................................................30
References...................................................................33

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