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研究生:蔡啟震
研究生(外文):Tsai, Chi-Jen
論文名稱:股票買回適合度之研究
論文名稱(外文):A study on the suitability of stock repurchase
指導教授:許書偉許書偉引用關係
指導教授(外文):Hsu, Shu-Wei
口試委員:林秀鳳許永聲
口試委員(外文):Lin, Hsiu-FengHsu, Yun-Sheng
口試日期:2012-06-28
學位類別:碩士
校院名稱:東海大學
系所名稱:會計學系
學門:商業及管理學門
學類:會計學類
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:84
中文關鍵詞:自願性揭露股價反應股票買回
外文關鍵詞:Voluntary disclosureMarket responseStock repurchase
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本研究旨在探討股票買回適合度對管理當局買回行為之影響以及投資人的反應。公司買回自家股票可向市場發射對未來前景看好以及價值低估的訊號,進而提升公司價值;然而並非所有的公司適合買回的程度皆相同。買回適合度高,意味著該公司的內部特徵適合買回自家股票,也賦予管理當局誘因買回自家股票,因此買回訊號為真的可能性大為提升,訊號品質越佳,股價反映該訊號的程度也越大。此外,買回適合度高,則買回誘因越強,管理當局宣告買回量及實際執行的程度也會越高。
本研究以2000年至2011年間,臺灣上市上櫃公司為樣本,建構股票買回意預測願模型,計算出股票買回適合度與不股票買回適合度。再以研究期間內公司首次股票買回作為研究樣本,以迴歸模型檢驗買回適合度對宣告買回股價、宣告買回量以及實際執行率之影響。此外,本研究也以迴歸模型探討市場對不買回的公司決策之反應。
研究結果顯示,公司的買回適合度越高,則股價反映該宣告買回的訊號程度亦越大;另外,買回適合度高的公司,其宣告買回比率以及後續的實際執行率亦越高。而若是市場投資人判斷該公司的內部特徵該買回自家公司股票,管理當局卻選擇不買回的決策,投資人可能會判斷該公司前景不佳而給予負面評價。

This study examines the relations between the suitability of stock repurchase and the management repurchasing behavior and the effect of investors’ reaction. Prior studies find that firms repurchase stock to signal potential undervaluation and favorable future prospects. However, the suitability of repurchase varies among firms. A firm with high suitability indicates that the internal characteristics of the firm support the stock repurchase program, and provides strong incentives for managers to perform the program. Therefore, if a firm announce repurchase program with high suitability, then the repurchase announcement is more reliable and investors will positively react to the announcement. Furthermore, a repurchase announcement with high suitability also implies that a larger percentage of shares will be authorized to repurchase and a larger percentage of shares will be repurchased relative to authorized shares.
The sample includes listed companies during 2000 to 2011 in Taiwan. The following methods are used to test hypotheses: First, Logit regression model is used to examine managers’ decision on stock repurchase based on the firm’s internal characteristics, and the residuals are used to proxy the suitability of managers’ repurchase decisions. Second, Regression model is used to examine the relationship between suitability and (1) investors’ response, (2) the percentage of shares authorized to repurchase, and (3) the percentage of shares actually repurchased.
The result shows that investors’ reactions, the percentage of shares authorized, and the percentage of shares actually repurchased are positively related to the firms’ suitability of repurchase. In addition, for non-repurchasing firms with low non-repurchasing suitability, investors view it as good news and react negatively.

第壹章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 研究架構與流程 4
第貳章 文獻回顧 5
第一節 關於股票買回之法令規範 5
第二節 股票買回動機 9
第三節 股票買宣告時的股價反應 16
第四節 國內文獻回顧 19
第參章 研究方法 22
第一節 研究假說 22
第二節 研究變設計與模型建立 27
第三節 樣本選取與資料來源 39
第肆章 實證結果及分析 45
第一節 股票買回意願預測模型 45
第二節 股票買回異常報酬率與適合度之迴歸模型 51
第三節 股票預計買回比率與買回適合度之迴歸模型 59
第四節 股票買回執行率與買回適合度之迴歸模型 62
第五節 不買回適合度與累計異常報酬率迴歸模型 65
第六節 額外測試 68
第伍章 結論與建議 75
第一節 研究結論 75
第二節 研究建議 78
第三節 研究限制 79
參考文獻 80

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