库藏股宣告效应之再检视.PDF

庫藏股宣告效應之再檢視 1 庫藏股宣告效應之再檢視 金鐵英 私立朝陽科技大學財金所 摘 要 本文使用四種資產評價模式，以事件研究法進行分析，再次檢視台灣上市櫃公司 實施庫藏股之宣告效應，研究結果發現如下： (1)台灣股市實施庫藏股的宣告對股價有顯著的正向效應。 (2)上市公司實施庫藏股 是為了挽救股價下跌，上櫃公司則是為了作價。 (3)實施次數越多則宣告效應越差，第 一次的宣告效應最正面，至第三次幾乎不存在效應，至第五次時效應已為負值。(4)有 再次宣告買回公司之本次累積異常報酬，顯著大於未再次宣告買回之公司，顯示當公 司發現宣告效應越正面，則會越傾向再次實施。 (5) 公司的股價、買回金額區間、週轉 率、宣告買回比率、個別公司風險、及產業別六個變數對實施庫藏股公司的異常報酬 有顯著影響。(6) 四種資產評價模式預測績效之優劣依次是：三因子模式結合 GARCH ， 三因子模式及市場模式族群，而使用市場模式時是否有結合 GARCH則較不重要。 關鍵詞：事件研究、庫藏股 257 2 朝陽學報第九期 A Reexamination of The Announcement Effect of Share Repurchase in Taiwan Tiein Jin Department of Finance, Chaoyang University of Technology Abstract Using the methodologies of event study and four valuation models, this paper empirically revisits the announcement effect of share repurchase in Taiwan. Major results are follows. (1) The announcements effect is significantly positive on average. (2) Shares listed on the TSE have to suffer an average of 6% to 8% pre-announcement drop whereas shares listed on the OTC have not. (3) Six variables including share price, repurchase price, turnover ratio, repurchase ratio, firm’s individual risk and industry category are shown related to the announcement effect. (4) The frequency of the announcements is influence also. The effect is most pronounced for the first-time announcement and becomes much weaker gradually for announcements afterwards. (5) The effect is much more pronounced for firms with subsequent repurchas