台灣電子產業上市公司庫藏股買回宣告對股價反應與庫藏股買回量之關聯性研究

Abstract

台灣金融監督管理委員會於2015年6月1日起，為增加股票市場效率性並與國際接軌，將股價漲跌幅度由7%放寛為10%。過去國內外文獻對於公司買回庫藏股之宣告效果進行實證研究者眾多，且國內研究庫藏股買回的相關文獻，仍大多以庫藏股制度實施初期及過去金融危機時期針對整體產業之公司股票買回進行研究，故對於2015年台灣股市放寬漲跌幅限制後，針對電子產業之上市公司庫藏股宣告效果進行相關實證研究者甚少。因此，本研究主要針對2015年國內股市放寬漲跌幅限制後，電子產業上市公司面臨股市低迷時，其庫藏股買回宣告對股價異常報酬之影響進行實證研究。

本研究採用2015年6月1日～2016年12月31日台灣政府放寬股價漲跌幅限制後，國內電子產業上市公司庫藏股買回宣告事件為樣本，以事件日研究法探討相關異常報酬。經實證得知，庫藏股買回宣告事件日後會產生正向異常報酬，且以ANOVA分析結果，顯示庫藏股買回比例愈高之異常報酬更為顯著，但對於宣告買回公司之股價對淨值比值(PBR)高或低，以及一年內首次或非首次宣告事件之異常報酬並無顯著差異。研究結果顯示庫藏股買回的數量影響供需，為影響股價的主要因素。

Since June 1, 2015, the Taiwan Financial commission has relaxed the stock price fluctuation limits from 7% to 10% for the purposes of increasing the efficiency of the stock market and convergence with international standards. Referred to the former researches about share repurchases which almost focus on the entire industries and literature of specific industry are few. Therefore, the study focuses on Taiwanese electronic industry facing the stock market downturn after Taiwan government to relaxes the stock price fluctuation limits and contributes the effect about announcements of share repurchases.

In this study, we test a sample of announcements of the Taiwanese electronic companies’ share repurchases during the period from June 1, 2015 to December 31, 2016. The event study approach is employed to examine the abnormal return to a company’s announcement of share repurchases. Our empirical results found a significantly positive abnormal return after share repurchase announcement. After verifying it through the ANOVA model, we found the announcement effect is greater for the sample companies which have higher volume of share repurchase.