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研究生:蕭淳之
研究生(外文):Tsun-chin Hsiao
論文名稱:公司購回庫藏股動機之訊號假說檢驗
論文名稱(外文):The Motives of Stock Repurchase: An Empirical Test of Signaling Hypothesis
指導教授:黃瓊玉黃瓊玉引用關係
指導教授(外文):Chiung-yu Huang
學位類別:碩士
校院名稱:南華大學
系所名稱:管理經濟學系經濟學碩士班
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:36
中文關鍵詞:庫藏股生產力訊號假說
外文關鍵詞:Stock repurchaseproductivitysignaling hypothesis
相關次數:
  • 被引用被引用:5
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  • 下載下載:110
  • 收藏至我的研究室書目清單書目收藏:0
  台灣於2000年8月頒訂「上市上櫃買回公司股份辦法」後,實施庫藏股購回制度至今已十餘年。文獻上有關股票購回的動機已發展出多項假說,而本論文的研究目的,即在檢驗當中的「訊號假說」。該假說主張,公司會透過購回被低估股票之動作以傳遞該公司未來收益是樂觀的訊息給投資大眾。本文以廠商生產力除以廠商股價淨值比之比值做為衡量廠商股價被低估程度之變數,研究樣本取自2002-2007年間,台灣標準行業分類中的電子零組件與電腦、電子產品及光學製品兩製造業之上市公司。實證結果顯示:(1)兩產業投入的資本存量與勞動工時皆與產出的附加價值呈正向且非常顯著之關係;(2)兩產業的平均生產力,在研究期間並無顯著變化,而實施庫藏股購回的廠商家數與購回次數,則在同期間的2004年時,皆有異於其他年份之倍增的狀況;(3)廠商股價被低估程度之變數與廠商實施庫藏股購回動作,呈現高度相關聯性,支持訊號假說。
  Not until August of year 2000, Taiwanese firms had not been allowed to buy their shares back in the open market. The literature regarding the motives of share re-purchase has been well documented, such as the signaling hypothesis, free cash flow hypothesis, etc. The purpose of this study is to investigate the information content of share repurchase in Taiwan. Specifically, we intend to empirically test whether the motive of share repurchase supports the signaling hypothesis where a firm purchases its shares in the open market to signal its current market undervaluation and a better prospect due to asymmetric information in the market. 
 
  Using the announced open market share repurchases data from the Market Ob-servation Post System and the financial data from the Taiwan Economic Journal Data Bank, we estimate the parameters of production functions for both the electronic components and computers, electronic products manufacturing industries respectively, and then use those estimates to calculate the firm’s unobserved productivity. Next, we define the value that taking the productivity divided by the price-to-book ratio to measure the magnitude of the firm’s undervaluation, and further investigate its rela-tionship with the behavior of the firm’s share repurchase using Probit model. The em-pirical results show that there exists a significant and positive relationship between firm’s undervaluation and the announcement of open market share repurchase. Namely, when a company’s share price is underestimated, it is more likely to implement the stock repurchase, which is consistent with the signaling hypothesis.
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 4
 
第貳章 庫藏股制度介紹 5
第一節 台灣庫藏股制度介紹 5
第二節 台灣實施庫藏股概況 8
 
第參章 文獻回顧 12
第一節 庫藏股相關文獻 12
第二節 生產力相關文獻 15
 
第肆章 研究方法 17
第一節 理論模型 17
第二節 實證模型 20
第三節 估計方法 22
第四節 資料來源與變數定義 24
 
第伍章 實證結果分析 26
第一節 生產力估計結果 26
第二節 訊號假說檢驗 29
 
第陸章 結論與建議 33
 
參考文獻 35
 
表目錄
表2-1 2000-2011年台灣各產業實施庫藏股購回之件數 10
表5-1零組件業與電腦業之生產函數估計結果 28
表5-2兩產業每年之平均生產力 28
表5-3是否實施庫藏股購回的家數 30
表5-4實施庫藏股購回次數 30
表5-5零組件與電腦業的平均 值 32
表5-6 Probit迴歸模型估計 32
 
圖目錄
圖2-1 2000-2011年台灣上市上櫃公司實施庫藏股購回之件數 8
圖2-2 2000-2011年台灣上市上櫃公司實施庫藏股購回之家數 9
圖2-3 2000-2011年台灣上市公司實施庫藏股購回目的 11
鄭偉煜 (2009), “庫藏股制度之探討-以產業景氣循環為例”, 碩士論文, 國立暨南國際大學財務金融研究所碩士論文。
 
Ackerberg, D. A., Caves, K. and Frazer, G. (2006), “Structural identification of pro-duction functions”, Publisher, 12, 1-35.
 
Amy, K. (2000), “Why do firms repurchase stock? ”, Journal of Business, 73, 331- 355.
 
Bagwell, L. S. (1991), ”Share repurchase and takeover deterrence”, Journal of Finan-cial Economics, 22, 72-88.
 
Dann, L. Y. (1981), “The effects of common stock repurchase on security holders’ re-turns.”, Journal of Financial Economics, 9, 115-138.
 
Doraszelski, U. and Jaumandreu, J (2011), R&D and productivity: Estimating endog-enous productivity, Working paper, Harvard University, Cambridge.
 
Grullon, G. and Michaely, R. (2004), ”The information content of share repurchase programs”, The Journal of Finance, 59, 651-680.
 
Jensen, M. C. (1986), “Agency costs of free cash flow, corporate finance, and takeo-vers”, The American Economic Review, 76, 323-329.
 
Lai, J. H. and Yu, C. H. (2005), “The Intra-Industry Effect of Share Repurchase De-regulation: Evidence from Taiwan”, Review of Pacific Basin Financial Markets and Policies, 8, 251-277.
 
Levinsohn, J. and Petrin, A. (2003), “Estimating production function using input to control for unobservables”, Review of Economic Studies, 317-341.
 
Lo,K. H., Wang, K. and Yeh, C. T. (2008), “Stock Repurchase and Agency Problems: New Evidence in Taiwan''s Stock Market”, Emerging Markets Finance and Trade, 44, 84-94.
 
Maxwell, W. F. and Stephens, C. P. (2003), ”The wealth effects of repurchases on bondholders”, Journal of Financial Economics, 58, 895-920.
 
Netter, J. M. and Mitchell, M. L. (1989), “Stock-repurchase announcement and insider transactions after the October 1987 stock market crash”, Financial Management, 18, 84-96.
 
Olley, G. S. and Pakes, A. (1996), ”The dynamics of productivity in the telecommu-nications equipment industry”, Econometrica, 64, 1263-1297.
 
Tsetsekos, G., Kaufman, D. and Gitman, L. (1991), “A survey of stock repurchase motivations and practices of major U.S. corporations”, Journal of Applied Business Research, 7, 15- 21.
 
Vafeas, N. O. and Joy, M. (1995), “Open market share repurchases and the free cash flow hypothesis G35”, Journal of Financial Economics, 48, 405-410.
 
Vermaelen, T. (1981), “Common stock repurchases and market signaling: an empirical study”, Journal of Financial Economics, 9, 139-183.
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