臺灣博碩士論文加值系統

我國在民國八十九年六月三十日通過證券交易法增修條文，第二十八條之二，上市櫃公司在一定條件下可以買回公司流通在外之股票。至2006年止所有公司共有1499次的庫藏股買回，由此可知庫藏股為公司重要的策略之ㄧ，因此本研究以2000年法案公佈後到2006年底所有上市公司庫藏股買回資訊，並扣除資訊遺漏公司後，最後樣本數為974筆，以事件日前180天為估計期，並以（-3，+3）為開窗期，計算累計異常報酬，探討公司的庫藏股宣告效應。
台灣大部份上市公司為股權集中或是家族控制，上市公司股東所有權與經營權分離程度較小，股權集中在控制股東手中，因此控制股東極容易透過其控制權影響公司的財務政策，並進而影響公司的價值，Ginglinger and L’Her(2006)檢視法國的庫藏股買回亦呈現正向反應，但是當買回庫藏股的公司被併購可能性較低以及較少大股東侵害小股東權益問題時，庫藏股宣告的正異常報酬會更高。因此本研究亦加入股權結構之變數，檢測庫藏股宣告效應是否會因為公司不同的股權結構而有差異。
我們發現整體而言，市場對庫藏股宣告給予正向的反應，尤其買回庫藏股前的股價表現愈不好時，庫藏股的宣告反應愈好，然而當買回庫藏股的公司股權集中度愈高、家族持股比率愈高，庫藏股宣告的正向累積異常報酬愈好。不過當外資與第二大股東持股比例愈高，並未發生對大股東的制衡作用，未能對市場反應有正向的影響。

In Taiwan, the amendment of the Securities and Exchange Law, Article 28-2, was passed in June 2000, allowing TSE and OTC firms to repurchase a portion of their outstanding shares under certain conditions and regulations. From 2000 to 2006, more and more companies repurchase stocks which become one of important policies of companies. This study investigates the announcement effects on stock repurchases using Taiwan’s samples.The number of sample is 974, which consisted of open-market repurchases announced between 2000 and 2006 after screening. The CAR was calculated over (-3-+3) windows by using 180 daily returns to estimate the parameters in the market model.
Most Taiwan’s listed firms are family-controlled firms. Control shareholders will have impact on financial policies, and further affect firms’ value. Ginglinger and L’Her (2006) indicate the announcement of repurchase have positive reaction, especially in a company with a low likelihood of being taken over, and less conflict between the majority and the minority. This paper advance investigates the relationship between ownership structure and announcement effects on stock repurchases.
In general, we find a positive average market reaction to the repurchase announcement, and the reaction of the market to the announcement of a repurchase is more positive with weaker the preceding performance. The results show that the abnormal return is positively related to ownership concentration and rate of family control, but we don’t find that foreign institutional investors and a second large shareholder guarantees an effective balance of power for the controlling shareholders.

摘要……………………………………………………………………………………vi
目次……………………………………………………………………………………viii
表目錄…………………………………………………………………………………x
圖目錄…………………………………………………………………………………xi
第一章 緒論……………………………………………………………………………1
1.1 研究背景與動機…………………………………………………………………1
1.2 研究目的…………………………………………………………………………4
1.3論文架構與研究流程……………………………………………………………5
1.3.1 論文架構…………………………………………………………………5
1.3.2 研究流程…………………………………………………………………6
第二章 文獻探討………………………………………………………………………7
2.1我國庫藏股相關法令……………………………………………………………7
2.2 相關文獻………………………………………………………………………10
2.2.1庫藏股宣告與股價反應………………………………………………10
2.2.2 庫藏股與股權結構………………………………………………………21
第三章 研究方法………………………………………………………………………27
3.1建立研究假說…………………………………………………………………27
3.2研究設計………………………………………………………………………30
3.2.1實證模型…………………………………………………………………30
3.2.2變數定義與衡量…………………………………………………………32
3.2.3 資料來源與樣本選擇…………………………………………………36
第四章 實證結果……………………………………………………………………42
4.1 敘述性統計分析………………………………………………………………42
4.2 相關性分析……………………………………………………………………43
4.3 全體樣本買回庫藏股宣告效果分析…………………………………………45
4.4 股權結構與庫藏股特性………………………………………………………46
4.5 迴歸結果………………………………………………………………………48

第五章 結論與建議…………………………………………………………………55
5.1 研究結論………………………………………………………………………55
5.2 研究限制………………………………………………………………………57
5.3 研究建議………………………………………………………………………58
參考文獻………………………………………………………………………………59

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