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研究生:林鈺恩
研究生(外文):Yu-En Lin
論文名稱:機構投資人的投資期限對庫藏股宣告之研究
指導教授:鄭揚耀鄭揚耀引用關係
指導教授(外文):Lee-Young Cheng
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:61
中文關鍵詞:訊號發射理論投資期限機構投資人庫藏股
外文關鍵詞:signalinginvestment horizoninstitutional investorsshare repurchase
相關次數:
  • 被引用被引用:3
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  • 下載下載:48
  • 收藏至我的研究室書目清單書目收藏:2
本文探討機構投資人的投資期限與庫藏股宣告的關係,從機構投資人的監督角度,去檢視公司宣告股票購回之訊息宣告的真實性,以及對公司長期發展的影響。並且檢視其對宣告公司執行率的影響。實證結果發現,股權結構中擁有較多長期持有之機構投資人的公司,其宣告後的長、短期異常報酬也會較高。可見在長期的機構投資人有較好的監督能力下,也間接促進了公司的公司治理,減少經理人從事對公司不利的行為而減損了公司的價值。此外,也發現股權結構中擁有較多長期持有之機構投資人的公司其宣告後的執行率也會較高,顯示股權結構中擁有較多長期持有之機構投資人的公司為了想要向市場傳達其公司價值被低估的訊號,以及透露出公司未來有利的消息,會以較高的執行率向市場傳達其訊號的真實性。
This paper investigates how shareholders’ investment horizons influence firms’ payout decisions and actual repurchases. Empirical results show that firms
held by long-term institutional investors have higher short-term cumulative abnormal returns and long-term buy-and-hold abnormal returns. Moreover,empirical results indicate that firms held by long-term institutional investors have higher completion rate. The evidence contributes to emerging theme in recent literature that shareholders’ horizon will affect the outcome of corporate events in which agency cost and information asymmetry constitute major features.
中文摘要--------------------------------------------------i
英文摘要-------------------------------------------------ii
目錄----------------------------------------------------iii
圖目次----------------------------------------------------v
表目次---------------------------------------------------vi
第壹章 緒 論----------------------------------------------1
第一節 研究背景與動機-------------------------------------1
第二節 研究貢獻-------------------------------------------4
第三節 研究架構-------------------------------------------5
第貳章 文獻探討-------------------------------------------7
第一節 股票購回相關文獻-----------------------------------7
第二節 機構投資人對公司影響的相關文獻--------------------10
一、機構投資人的交易對股價之影響-------------------------12
二、機構投資人的交易策略---------------------------------13
三、機構投資人與公司股利政策的關係-----------------------14
四、機構投資人與公司治理的關係---------------------------15
五、機構投資人的投資期間長短對公司的影響-----------------17
六、機構投資人對台灣的影響-------------------------------18
第三節 台灣庫藏股相關法規與其他地區的異同----------------20
第參章 研究方法------------------------------------------23
第一節 研究假說------------------------------------------23
第二節 資料來源與研究期間--------------------------------24
第三節 研究設計------------------------------------------25
一、機構投資人的投資期間長短與股票購回宣告後之短期表現---25
二、機構投資人的投資期間長短與公司股票宣告後之長期績效
表現-------------------------------------------------31
三、機構投資人的投資期間長短與股票宣告後之執行狀況-------33
第肆章 實證研究與分析------------------------------------37
第一節 樣本說明與特性------------------------------------37
第二節 實證分析結果--------------------------------------38
一、機構投資人的投資期間長短對公司股票購回宣告之短期報酬率
的影響-----------------------------------------------38
二、機構投資人的投資期間長短對公司股票購回後之長期報酬率的
影響-------------------------------------------------42
三、機構投資人的投資期間長短與股票宣告後之執行狀況-------46
第伍章 結論與建議
第一節 結論----------------------------------------------49
第二節 建議----------------------------------------------50
文獻-中文部分--------------------------------------------51
文獻-英文部分--------------------------------------------52
中文部分
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2.王瑗璟, 2006. 上市及上櫃股票買回與股價反應的相關性研究. 國立中央大學企業管理研究所未出版碩士論文.
3.吳靖東, 2008. 機構投資人的交易研究. 行為財務學暨新興市場理論與實證研討會之論文.
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6.周賓凰與蔡坤芳, 1997. 臺灣股市日資料特性與事件研究法.證券市場發展季刊 9, 1-27.
7.邱垂昌, 2006. 宣告及實際買回庫藏股與異常報酬-管理者之策略性應用. 會計與公司治理期刊 第三卷, 17-36.
8.林哲鵬,黃昭祥與李春安, 2006. 機構投資人與台灣股市報酬的關聯性. Journal of Financial Studies 14, 111-150.
9.柯永仁, 2000. 外資與自營商買賣超行為對股價影響效果之探討. 國立中央大學企業管理研究所未出版博碩士論文.
10.施皓文, 2007. 從公司治理角度看機構投資人對併購事件之影響. 國立中正大學財務金融研究所未出版碩士論文.
11.張紹基,賴蓉禾與游貞旋, 2005. Intra-industry Effect of Share Repurchase Deregulation: Evidence from Taiwan. Review of Pacific Basin Financial Markets and Policies 8,251-277.
12.黃婉華, 2006. 臺灣股市自營商處分效果之實證研究. 國立台北大學企業管理研究所未出版碩士論文.
13.黃懷慶, 2000. 臺灣股市三大機構投資人(外資、投信與自營商)投資行為之實證研究. 朝陽科技大學財務金融研究所未出版碩士論文.
14.陳妙珍,陳炤良與王安岐, 2004. The Announcement Effects of Restricted Open Market Share Repurchases: Experience from Taiwan. Review of Pacific Basin Financial Markets and Policies 7, 335–354.
15.陳彥豪, 2002. 外資與投信法人持股比率變化對股價報酬率影響之研究-以上市電子股為例. 國立中山大學財務管理研究所未出版博碩士論文.
16.陳達新, 2003. 庫藏股制度對股票價格的宣告效果-台灣上市公司的實證研究. 商管科技季刊 第四卷, 377-400.
17.陳嘉惠,劉玉珍與林炯垚, 2003. 公開市場股票購回影響因素分析. 證券市場發展季刊 15, 27-62.
18.陳曉蓉與王詠惠, 2006. 機構投資人持股對股價反映未來盈餘資訊程度之影響. 會計與公司治理 第三卷, 69-100.
19.蔡秋萍, 2006. 以機構投資人角度探討公司資訊揭露. 國立台北大學企業管理研究所未出版碩士論文.
英文部分
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4.Barber, B., and T. Odean, 2000. Trading is hazardous to your wealth: the common stockinvestment performance of individual investors. Journal of Finance 55, 773–806.
5.Barclay, M. J., and C. W. Smith, Jr., 1999. The capital structure puzzle: another look at the evidence. Journal of Applied Corporate Finance 12, 8-20.
6.Billett, M., and H. Xue. 2007. The takeover deterrent effect of open market share repurchases. Journal of Finance 62, 1827-1850.
7.Boehmer, E., and E., Kelley, 2007. Institutional investors and the informational efficiency of prices. Working Paper, Texas A&M University.
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9.Brennan, M. J. and A. Thakor, 1990.Shareholder Preferences and Dividend Policy. Journal of Finance 65, 993-1018.
10.Carhart, Mark M., 1997, On Persistence in Mutual Fund Performance, Journal of Finance 52, 57-82.
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12.Chen, X., J. Harford, and K. Li, 2007. Monitoring: Which institutions matter? Journal of Financial Economics 86, 279-305.
13.Comment, R., and G. A. Jarrell, 1991. The relative signaling power of dutch-auction and fixed-price self-tender offers and open-market share repurchases. Journal of Finance 46, 1243-1272.
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