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研究生:陳瑞章
研究生(外文):Chen ,Jui-Chang
論文名稱:台灣上市公司宣告庫藏股前後系統風險變動與超額報酬率之研究
論文名稱(外文):Systematic Risk Change and Abnormal Return around Share Repurchase Announcements
指導教授:陳泰源陳泰源引用關係
指導教授(外文):Chen ,Tai-yuan
口試委員:方顯光陳國嘉
口試委員(外文):Fang,Xian-guangChen,Guo-jia
口試日期:2011-05-24
學位類別:碩士
校院名稱:開南大學
系所名稱:財務金融學系
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:2011
畢業學年度:99
語文別:中文
論文頁數:72
中文關鍵詞:庫藏股系統風險日曆時間法
外文關鍵詞:Share Repurchase AnnouncementsSystematic RiskCalendar-time approach
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本研究主要檢驗庫藏股宣告前後系統風險之變動及該變動之隱含訊息。此外,2007年至2008年金融風暴期間,台灣股市宣告股票購回之上市公司高達315家次(排除金融類股),與金融風暴發生前相比呈倍數增加。因此,本研究亦檢驗兩不同時期公司宣告庫藏股在報酬率與系統風險上之差異及動機。研究應用日曆時間法估計庫藏股票之超額報酬率並以資本資產定價模型及三因子模型估計系統風險,最後運用多元迴歸模型分析公司獲利能力、自由金流量等因素對於庫藏股超額報酬及風險之解釋能力。研究結果顯示台灣上市公司宣告前股價均有顯著低估之現象,而宣告後有正向顯著之超額報酬率,且事件日後正向顯著之累積超額報酬率更可持續六十日之久。系統風險則顯示公司宣告後有明顯的下降,且若比較兩時期系統性風險差異則顯示金融海嘯時期宣告庫藏股所降低之程度大於非金融海嘯時期,但影響的天數較短。迴歸分析結果也顯示公司資本投資變動與風險變動呈正向關係,系統風險變動對該報酬率則有負向影響,顯示公司投資機會減少導致系統風險降低,而市場對於此舉動持正面之反應。因此,綜合本研究之結論,公司宣告庫藏股於短期間之證據系符合自由現金流量假說理論,但隨著時間的拉長,宣告效果則轉變支持訊號假說理論。
This research investigates the systematic risk change and abnormal returns around share repurchase announcements we also compare the systematic risk and the abnormal returns for the announcements in two different periods, which are respectively 2000 to 2006 and 2007 to 2008. The former is defined as the period of non-financial crisis while the latter is the financial-crisis period. The examination employs the calendar-time approach to estimate the abnormal return. The CAPM model and the three factors model are employed to estimate the systematic risk change. This research also examines the effect of profitability, free cash flow and other explanatory variables on the abnormal return and the systematic risk change by using multiple variables regression.
The empirical findings show that firms which are undervalued before announcing share repurchases experience positive abnormal return after the announcements. Moreover, the positive cumulative average abnormal return could sustain for sixty days. The repurchasing firms are also found to experience a significant reduction in systematic risk relative to the non-repurchasing firms. The risk reduction after the share repurchase announcements in the period of financial crisis are found to be larger than those in the period of non-financial crisis. The results also show that the changes in investment has positive and significant effect on the systematic risk changes, but negative effect on the post-announcement abnormal returns. Overall, in the shorter post-announcement period, the free cash flow hypothesis perdicts the risk changes and the abnormal returns well. In a longer horizon, such as 12 months, the wealth effect is better explained by the signaling hypothesis.

摘 要 I
Abstract II
目 錄 III
表 目 錄 V
圖 目 錄 VI
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 研究流程 4
第四節 論文架構 6
第二章 文獻回顧 7
第一節 價格低估假說 (Undervaluation Hypothesis) 7
第二節 訊號發射假說(Signalling hypothesis) 8
第三節 自由現金流量假說(Free cash flow hypothesis) 9
第三章 研究方法 12
第一節 宣告庫藏股之超額報酬率 12
第二節 宣告庫藏股的系統風險評估及資金成本估計 17
第三節 超額報酬率與風險變動之影響因素 22
第四節 研究資料 31
第四章 實證結果 32
第一節 敘述性統計 32
第二節 宣告庫藏股之超額報酬率 33
第三節 系統風險與資金成本之改變 35
第四節 超額報酬率變動與風險變動之影響因素 37
第五章 結論與建議 41
第一節 研究結果 41
第二節 研究限制與建議 43
參考文獻 I
圖 表 I
附 錄 XII


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