臺灣博碩士論文加值系統

本文主要是探討股票買回宣告的S&;P 500公司與媒體報導的關係，除了檢視公司特徵與媒體報導的關係，主要是檢驗股票買回宣告公司其短期的市場績效及投資人的交易活動是否會受到媒體報導的影響。首先，本研究發現在短期沒有新聞報導或新聞報導較少的公司會因為資訊不足的衝擊導致有較大的累積異常報酬，顯示媒體降低了買回宣告後的累積異常報酬。其次，在媒體先行新聞其影響的程度比公司先行新聞更大，且對短期異常報酬是一個非線性的影響；然而，在長期並沒有發現降低異常報酬的證據，但發現較多媒體報導的公司會有較大的長期異常報酬的現象。最後，本研究發現媒體報導確實會影響到投資人在股票買回宣告期間的交易活動，且媒體先行新聞的影響一樣比公司先行新聞大。結論顯示在股票買回宣告期間，媒體報導對於市場的短期異常報酬及投資人的交易活動扮演其重要性的角色。

This study examines association between S&P 500 repurchasing company and media coverage, in addition to the relationship with firm characteristics and media coverage, primarily to test whether the repurchasing company’s coverage have impact on market performance and investor trading activity. First, we find that little coverage tend to have high abnormal return due to lack of information in the short term, reveal the media reduce post-announcement abnormal return. Second, the press-initiated coverage which the influence is nonlinearity has bigger impact than firm-initiated. However, we did not find the evidence in long-term, but discover that high coverage firm has larger long-term abnormal return. Third, we find that media coverage does affect investors trading activity during the repurchase announcement. Finally, the results indicate that media coverage plays an important role in short-term market reaction and investor activity during the repurchase announcement.

摘要 I
ABSTRACT II
致謝 III
目次 V
表目錄 VII
1. 前言 1
2. 文獻探討與假說設定 5
2.1. 股票買回宣告與股價報酬率的關係 5
2.2. 股票買回宣告與交易量的關係 6
2.3. 媒體報導與股價報酬率的關係 7
2.4. 媒體報導與交易量的關係 9
2.5. 假說設定 11
3. 樣本資料 13
3.1. 樣本選取與資料來源 13
3.2. 媒體資料 14
3.3. 變數選取 15
3.4. 資料敘述統計 17
3.4.1. 基本敘述統計 17
3.4.2. 皮爾森相關係數 19
3.4.3. 樣本產業分配 19
4. 實證結果 21
4.1. 媒體報導與買回宣告公司特性的關聯 21
4.2. 媒體報導與買回宣告短期股價報酬率的關聯 23
4.2.1. 媒體報導對短期股價報酬率的影響 23
4.2.2. 媒體先行新聞及公司先行新聞與短期股價酬報率的關聯 25
4.3. 媒體報導與買回宣告短期交易量的關係 28
4.3.1. 媒體報導對短期交易量的影響 29
4.3.2. 媒體先行新聞及公司先行新聞與短期異常交易量的關聯 30
4.4. 媒體報導與買回宣告後長期股價報酬率的關係 33
5. 結論 37
參考文獻 39

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