次級房貸風暴下台灣上市公司庫藏股購回宣告效應之研究

Abstract

本論文以事件研究法來分析次級房貸風暴下庫藏股之購回宣告效應，同時以t檢定、複迴歸分析來檢定公司特性是否對庫藏股購回宣告效應有影響。 研究結果顯示庫藏股購回宣告效應相當明顯，因為大環境的影響，在庫藏股購回宣告日之前股價大多經歷一段時間的下跌，但庫藏股實施確實有效的穩定公司下滑的股價，從t檢定中觀察到宣告日之後庫藏股有顯著之累積異常報酬率。 觀察公司特定變數對累積異常報酬的影響可以發現本益比越高者，庫藏股購回宣告效應越明顯，顯示即使外在投資環境不佳，投資人仍然願意關注具題材性的股票，另外股本大小對庫藏股購回宣告效應亦達到5%的顯著水準，支持了資訊不對稱假說。 根據價值低估假說，股價淨值比較低者的庫藏股購回宣告效應較大，但本研究之結果並未達顯著，還有待以後研究者做進一步的探討及確認

The purpose of this research is to explore the effect of stock repurchase announcement using the event study methodology. I also investigated whether the company characteristics influence this effect through t-tests and multiple regressions. The result demonstrated that the announcement effect is rather salient. The repurchase decision has effectively stabilized the declining stock prices. This announcement effect is stronger if the PE ratio is higher. Moreover, the capital stock has a significant impact on the announcement effect, which supports the information asymmetry hypothesis. However, PB ratio seems not showing any significant influence on the stock price of the repurchasing firm.