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題名：以互換選擇權評價公開市場股票買回之理論與實證研究
作者：蔡佩玲
作者(外文)：Pei-Ling Tsai
校院名稱：國立東華大學
系所名稱：企業管理學系
指導教授：林士貴
池祥萱
學位類別：博士
出版日期：2009
主題關鍵詞：買回目的；公開市場股票買回；互換選擇權；區間價格；open market repurchases；interval of repurchase price；exchange option；purpose of repurchase stock
原始連結：連回原系統網址new window
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台灣上市公司宣告公開市場股票買回 (open market repurchases, OMR) 和其他國家不同點在於台灣上市公司宣告OMR時必須同時宣告「區間價格」及「買回目的」，公司宣告OMR沒有義務要完全買回宣告欲買回股數，公司有選擇是否買回的權利，Ikenberry and Vermaelen (1996) 指出當公司股價被低估時，管理者會在公開市場宣告OMR，未來將於公開市場買回股價被低估的股票，亦即將股票被低估之市場價值和其真實價值做交換，此為互換選擇權的概念。故本文承續Ikenberry and Vermaelen (1996) 的概念，評價同時考慮區間價格及買回目的時宣告OMR之價值。
數值分析結果顯示不論是考慮區間價格或同時考慮區間價格及買回目的，OMR宣告日股價包含於區間價格時，OMR計畫訊息宣告時市場反應較大，當區間價格上下限距離越大時，OMR計畫訊息宣告市場反應越大。實證分析結果指出在股票市場下跌時，中型公司宣告的買回上限越高，讓市場投資人更相信公司的股價是被低估的，而市場投資人較不會考慮公司宣告之買回目的，公司實際宣告的價格上下限越接近理論最適價格上下限，市場反應有顯著正向反應，表示本文計算之理論價格上下限是良好的參考指標。
Managers have the option to repurchase the stocks by the announcement of an OMR (open market repurchases) if they feel the company’s stock price is undervalued. The market price of the stocks is exchanged for the true value of the stocks and is considered as an exchange option developed by Ikenberry and Vermaelen (1996). However, the announcement of an OMR for listed companies in the TSE (Taiwan Stock Exchange) is distinguished from other stock exchanges in making a simultaneous announcement of the “interval of repurchase price” and the “purpose of repurchase stock”. Under considering of Taiwan’s law, this paper uses the exchange option to provide the evaluation of an OMR program.
Based on the results of numerical analysis, the bigger the gap between the lower limited price and the upper limited price is, the more intense the market response toward the OMR announcement will be. The major findings in this study are as follows: first, investors tend to believe the upper limited price announced by the OMR firms can be achieved, that is, the investors also think that the company’s stock price is undervalued. Second, the interval of repurchase price should be considered by evaluating the option value of OMR announcements. Finally, the cumulated abnormal return on stocks is significant by being different from zero when the actual upper limited price and the actual lower limited price are close to the theoretical upper limited price and theoretical lower limited priec. Consequently, the theoretical upper limited price and theoretical lower limited price of the paper provides a selection guideline to companies making repurchase decisions.
吳宗翰 (2002)。 資訊不對稱與內部持股變動對首次庫藏股宣告效果影響之研究，朝陽科技大學企業管理系碩士論文。
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