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研究生:金映潔
研究生(外文):Ying-chieh Chin
論文名稱:錯誤定價與負債水準對股票購回後報酬的影響
論文名稱(外文):The impact of mispricing and capital structure on post-repurchase return
指導教授:陳瑞璽陳瑞璽引用關係
指導教授(外文):Ruey-shii Chen
口試委員:陳瑞璽
口試委員(外文):Ruey-shii Chen
口試日期:2015-06-16
學位類別:碩士
校院名稱:大同大學
系所名稱:事業經營學系(所)
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2015
畢業學年度:103
論文頁數:117
中文關鍵詞:股票購回資本結構錯誤定價
外文關鍵詞:stock repurchasecapital structuremispricing
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本研究探討資本結構、錯誤定價和股票購回之間的關聯性,討論在資本結構及股價水準各種不同的情況下公司進行股票購回後的股票報酬為何。資本結構和錯誤定價會影響股票購回後股票報酬率的表現,因為當公司做股票購回時,會減少公司的股權和提高槓桿比率。
本研究探討公司進行股票購回後的股票報酬為何,本研究將公司分為高槓桿與低槓桿,對公司股票的估值分為高股與低估,再對此進行交叉組合分成四組,分別為高槓桿公司與股票高估、高槓桿公司與股票低估、低槓桿公司與股票高估、低槓桿公司與股票低估。本研究預期公司股票購回對股票報酬的影響會受到買回時股價是否低估的影響,同時股票購回會調整資本結構,因此買回時負債水準亦會影響買回之報酬率。
本研究使用2000年至2013年之間台灣上市櫃公司為樣本,蒐集股票購回之日期,相關資料和其他的變數皆都來自台灣經濟新報資料庫。分別以原始報酬率及四因子模型估計之異常報酬率進行相關研究。研究結果顯示,股價高時股票購回比股價低時股票購回的報酬率來的好,本研究認為可能是動能所造成的,高股價公司可能過去有好的報酬,接續維持向上的趨勢,低股價公司相反的則維持向下的趨勢。在資本結構部分,股票購回會增加負債比率,所以當公司負債比率過低時做股票購回會使公司負債向最適水準靠近,因此有未來正報酬率,反之負債比率過高時購回則使負債水準偏離最適水準,因而產生負的報酬,符合本研究預期的結果。
This study analyzes the relation among mispricing, capital structure and stock repurchase. We want to investigate the impact of mispricing and capital structure on post-repurchase returns in different situations. Companies’ repurchase their own stocks would reduce equity and increase leverage ratio, which will influence the post-repurchase return.
According to debt ratio, we divide companies into overlevered and underlevered companies. We further divide stocks into overvalued and undervalued stocks according to the value of companies. We therefore have four groups for analysis - overlevered and overvalued, overlevered and undervalued, underlevered and overvalued, underlevered and undervalued companies. We expect the impact of company's stock repurchase on stock returns will be subject to firm's debt ratio and valuation. Stock repurchase will adjust the capital structure at the same time.
The samples are Taiwan listed companies over the period from 2000 to 2013. Our sample is from Taiwan Economic Journals database. We use the original return and abnormal return which is estimated by four-factors model to carry out our empirical. The results show that post-repurchased return in high stock price group is better than low stock price group. We think that it might be caused by momentum, because low stock price is likely to maintain in a downward trend. When stock price is high which is likely to maintain in a upward trend. In the capital structure, stock repurchase will increase the debt ratio, so when the company debt ratio is too low, stock repurchase will let capital structure close to the optimal level, which will induce positive return. On the contrary, when the company debt ratio is too high, the stock repurchase will let capital structure deviate from the optimum level, which will induce negative return, which is consistent with our expectations.
摘要 i
誌謝辭 iii
目錄 iv
表目錄 vi
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 論文結構 3
第貳章 文獻探討 4
第一節 資本結構理論 4
第二節 股票購回動機 11
第三節 股票購回之實證文獻 15
第參章 研究方法 20
第一節 研究假說 20
第二節 樣本選取與資料來源 22
第三節 研究設計 25
第肆章 研究分析 28
第伍章 結論 39
參考文獻 42
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邱煥堯,(2001),「台灣股票市場庫藏股行情之實証研究」,國立中央大學企業管理研究所未出版碩士論文。
邱鍵麟,(2001),「台灣上市公司實施庫藏股制度對股價影響之研究」,長庚大學企業管理研究所未出版碩士論文。
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