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題名：台灣的庫藏股:宣告的資訊內涵與信賴程度
作者：侯翰
作者(外文)：Han Hou
校院名稱：國立中正大學
系所名稱：財務金融所
指導教授：何加政
學位類別：博士
出版日期：2009
主題關鍵詞：事件研究；機構投資人；信賴程度；庫藏股；institutional investor；event study；Stock repurchase；credibility
原始連結：連回原系統網址new window
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這篇論文包含兩個主題探討關於台灣證券市場之公開市場買回，該購回已經變成受歡迎且重要的財務政策讓全世界很多國家的公司得以藉此分配現金給股東。藉由公開市場收購計畫，公司持續數月到數年在市場上買回流通在外股票。實證研究提供了可觀的證據支持當宣告庫藏股的時候，市場給予顯著且正面的短期反應（例如：Comment and Jarrell, 1991; Ikenberry et al., 1995; Ikenberry et al., 2000; Oded, 2005），而最常被用來解釋該異常現象的主要原因是因公司藉由庫藏股收購傳達公司被低估的訊息（例如：Dann, 1981; Vermaelen, 1981; Comment and Jarrell, 1991; Ikenberry et al., 1995; Stephens and Weisbach, 1998; Ikenberry et al., 2000）。該因素也廣為高階經理人所接受，他們聲稱當公司的市場價格處於低檔時所做的庫藏股宣告，會使其公司成為有吸引力的投資。
利用台灣證券交易所（TSEC）要求公司宣告庫藏股必須揭露相關資訊的優勢，博士論文的第一篇研究兩個重要議題，其中第一個議題探討公開市場收購的市場反應與宣告資訊的連結。本文發現宣告買回比率（Target ratio）與宣告效果（2天累積異常報酬），執行期間的市場反應（40天累積異常報酬），與61天累積異常報酬成顯著正向的關係。本文亦發現，價格位置（Price Location）除了與宣告後的2天累積異常報酬無關外，其與執行期間的市場反應（40天累積異常報酬）和61天累積異常報酬成顯著負向的關係。此外，庫藏股宣告的目的並不與市場反應相關，顯示證交所要求宣告公司必須揭露該訊息是多餘的。第二個議題本文有興趣來探討價格位置（Price Location）所傳達的訊息內涵。結果顯示價格位置與市場反應的負向關係是導因於溢酬（Premium）而非低估（undervaluation）。即低的價格位置傳達較高的溢酬（Premium），使得市場要較大的正向反應。此外，較嚴重的低估程度會加強價格位置與市場反應之間的負向關係。
台灣庫藏股特有的訊息揭露也允許本文創造庫藏股宣告的信賴程度（Credibility）指標，歸因於台灣的庫藏股執行完成後可以正確的計算出庫藏股完成率（Completion rate）與執行成本佔價格區間（Price range）的百分比。因此，博士論文的第二篇比較外資機構法人與國內機構法人在庫藏股宣告期間的交易行為，藉以研究兩者的資訊優勢。本文發現外資機構法人相較於國內機構法人具有資訊優勢。在兩個月的庫藏股執行期間，外資機構法人持續買進信賴程度高的公司，而國內機構法人卻無法辨認公司的信賴程度，顯示外資機構法人是熟練的且具備專業化的投資經驗。此外，本文亦發現外資機構法人持有高信賴程度公司是導因於高信賴程度的公司相較於信譽不佳的公司有較大的正向市場反應。
This dissertation is comprised of two topics related to open-market repurchase programs in Taiwan. Open-market repurchase program has become a popular and important financial policy for firms in many countries to distribute corporate cash to shareholders. In a repurchase program, a firm buys back its outstanding shares in the market over a period lasting from months to years. Empirical studies offer considerable evidence of significantly positive short-term price reaction on the announcements of open-market repurchase program (e.g., Comment and Jarrell, 1991; Ikenberry et al., 1995; Ikenberry et al., 2000; Oded, 2005). One of commonly explanation for repurchases in the academic literature is that firms use announcements of open-market repurchase to convey signal of undervaluation to the market ( e.g., Dann, 1981; Vermaelen, 1981; Comment and Jarrell, 1991; Ikenberry et al., 1995; Stephens and Weisbach, 1998; Ikenberry et al., 2000). This is also supported by most top managers, who declare when announcing repurchase programs that the current market prices are too low and hence their company is an attractive investment (e.g., Dann, 1983; Barker et al., 2003).
Taking advantage of information disclosure of open-market repurchase programs required by Taiwan Stock Exchange Corporate (TSEC), the first topic investigates two important issues between 2000 and 2007. The first one is the linkage between market responses of open-market repurchase programs and announcing information. Our findings show that the percentage of shares to be repurchased is positively related to the announcement effect (i.e., 2-day CARs), the market responses during the execution period (i.e., 41-day CARs), and 61-day CARs. In addition, except for the 2-day event period right after the announcement, the price location is significantly negative related to market responses during the execution period (i.e., the event window of (0, +40)), as well as the period of (0, +60). We also verify that the negative association between the price location and the market response is due to higher premium not undervaluation. That is, lower price location implies higher premium and results in larger market responses. Moreover, severely (less) undervaluation may at best enhance (weaken) the negative linkage between price location and market responses. Finally, our findings reveal that the motivation for conducting an open market repurchase does not affect the behavior of stock prices, suggesting that the announced purpose is redundant.
Our unique data also allow us to construct a credibility index since we can accurately measure program completion rates and the relative location of average cost within the price range after the programs are terminated. Therefore, in the second topic, we question and test the issue of information advantage via observing the trading behavior of foreign and domestic institutional investors during the entire execution periods. We find that foreign institutional investors possess information advantage over domestic institutional investors during the entire execution periods. They buy companies with higher credibility, whereas domestic institutional investors can not distinguish between true and false signals, signifying that foreign institutional investors are sophisticated and possess specialized investment experiences. Besides, our finding that foreign institutional investors hold high credibility firms is due to the fact that those firms are linked with higher long-term abnormal returns than firms with lower credibility.
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