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題名：公開市場購回股票之研究
作者：余奕旻
作者(外文)：Yi-Min Yu
校院名稱：國立中央大學
系所名稱：財務金融研究所
指導教授：周冠男
葉錦徽
學位類別：博士
出版日期：2011
主題關鍵詞：股票購回；資訊不對稱；資訊交易；序列交易模型；資訊發射；自由現流量；Share repurchase；Information trading；Information asymmetry；Sequential trading model；Information signaling；Free cash flow
原始連結：連回原系統網址new window
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股票購回已成為財務文獻的熱門研究主題。當公司宣告其股票購回計劃，同時也會改變資訊環境，有資訊的投資者與無資訊的投資者可能因此而調整其投資決策，資訊交易風險因而可能有所不同。此外，股票購回的資訊效果不只是影響購回公司本身，亦可能循著供應鍵而影響著其他公司。因此，本文即以此二主題進行研究，以便對於更深刻的瞭解股票購回內涵提供貢獻。
第一篇係研究公開市場購回股票前後的資訊交易情況。研究結果顯示，股票購回的執行期間，資訊交易風險明顯地上升，並隨著執行結束而下降。這可能係因為部分的無資訊投資者預期股票購回的執行期間會有較高的資訊不確性，因而退出市場，留在市場中的無資訊交易者乃面臨著更有可能與有資訊交易者進行交易。
第二篇係研究公開市場股票購回對供應商的財富效果。研究結果顯示供應商有明顯的負向短期異常報酬。這可能係因為供應商察覺股票購回公司未來的獲利將下降，乃調整其投資決策以規避不利的影響。這個結果較符合自由現金流量假說。此外，本文亦發現股票購回公司與供應商間的關係密切與否對供應商的財富效果亦有影響。
Share repurchases have been an intensely studied topic in finance literature. When a firm announces its buyback plan, it will change the firm’s information environment. Informed and uninformed investors are likely to adjust their investment decision. The risk of information trading around share repurchases may be different. Moreover, the information effect of share repurchase is not only on the repurchasing firm but also likely to spill over other firms along supply chain. Thus, this dissertation investigates the two issues and contributes to deeper understand the implication of open market share repurchases.
In the first essay, we examine the information trading around open market share repurchases. Our results show that the risk of information trading significantly increases during the repurchase execution period and reverts back in the post-expiration period. It is likely that some uninformed traders leave the market in the execution period, in anticipation of higher information uncertainties. Therefore, the remaining uninformed traders collectively face higher possibility of trading with informed traders.
In the second essay, we investigate the wealth effect of open market share repurchases on suppliers. The results show that suppliers have significantly negative short-run abnormal return. It is likely that, when suppliers perceive repurchasing firms’ profitability decline, they adjust their investment to avoid disadvantage. It is more consistent with free cash flow hypothesis. Moreover, we find that the relationship between repurchasing firms and their suppliers have impact on suppliers.
Essay1：Information Trading around Open Market Share Repurchases:Evidence from the Taiwan Stock Exchange
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Franz, D.R., Rao, R.P., and Tripathy, N., 1995, Informed trading risk and bid-ask spread changes around open market stock repurchases in the NASDAQ marekt, Journal of Financial Research 58, 311-327.
George, T.J., Kaul, G., and Nimalendran, M., 1991, Estimation of the bid-ask spread and its components: a new approach, Review of Financial Studies 4, 623-656.
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Grullon, G., and Michaely, R., 2004, The information content of share repurchase programs, Journal of Finance 59, 651-680.
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Massa, M.T., Rehman, Z., and Vermaelen, T., 2007, Mimicking repurchases, Journal of Financial Economics 84, 624-666.
Miller, J.M., and McConnel, J.J., 1995, Open-market share repurchase programs and bid-ask spreads on the NYSE: implication for corporate payout policy, Journal of Financial and Quantitative Analysis 30, 365-382.
Miller, M.H., and Rock, K., 1985, Dividend policy under asymmetric information, Journal of Finance 40, 1031-1051.
Mitchell, M., Pulvino, T., and Stafford, E., 2004, Price pressure around mergers, Journal of Finance 60, 31-63.
Ofer, A.R., and Thakor, A.V., 1987, A theory of stock price responses to alternative corporate cash disbursement methods: stock repurchases and dividends, Journal of Finance 42, 365-394.
Scholes, M.S., 1972, The market for securities: substitution versus price pressure and the effects of information on share prices, Journal of Business 45, 179-211.
Vermaelen, T., 1981, Common stock repurchases and market signaling：An empirical study, Journal of Financial Economics 9, 139-183.
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Essay 2：The wealth effects of open market share repurchase on suppliers
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Bhattacharya, S., 1979. Imperfect information, dividend policy, and “the bird in the hand” fallacy. Bell Journal of Economics 10, 257-270.
Carhart, M.M., 1997. On persistence in mutual fund performance. Journal of Finance 52, 57-82.
Chan, K., D. Ikenberry, and I. Lee, 2004. Economic sources of gain in stock repurchases. Journal of Financial and Quantitative Analysis 39, 461-479.
Chen, S.-S., and S.-M. Lai, 2007. The vertical information transfer effects of earnings restatements along the supply chain. Unpublished paper, National Taiwan University and National Chengchi University.
Comment, R., and G.A. Jarrell, 1991. The relative signaling power of Dutch-auction and fixed-price self-tender offers and open market share repurchases. Journal of Finance 46, 1243-1271.
Dann, L.Y., 1981. Common stock repurchases: an analysis of returns to bondholders and stockholders. Journal of Financial Economics 9, 113-138.
Dittmar, A., 2000. Why do firms repurchase stock? Journal of Business 73, 331-355.
Erwin, G., and J. Miller, 1998. The intra-industry effects of open-market share repurchases: contagion or competitive? Journal of Financial Research 21, 389-406.
Fama, E.F., and K.R. French, 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 43, 3-56.
Fee, C.E., and S. Thomas, 2004. Sources of gains in horizontal mergers: evidence from customer, supplier, and rival firms. Journal of Financial Economics 74, 423-460.
Grullon, G., and R. Michaely, 2002. Dividends, share repurchases, and the substitution hypothesis. Journal of Finance 57, 1649-1684.
Grullon, G., and R. Michaely, B. Swaminathan, 2002. Are dividend changes a sign of firm maturity? Journal of Business 75, 387-424.
Grullon, G., and R. Michaely, 2004. The information content of share repurchase programs. Journal of Finance 59, 651-680.
Hertzel, M.G., 1991. The effects of stock repurchase on rival firms. Journal of Finance 46, 707-716.
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Ikenberry, D., J. Lakonishok, and T. Vermaelen, 1995. Market underreaction to open market share repurchases. Journal of Financial Economics 39, 181-208.
Jagannathan, M., and C. Stephens, 2003. Motives for multiple open-market repurchase programs. Financial Management 2, 71-91.
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Lie, E., 2001. Detecting abnormal operating performance: revisited. Financial Management 30, 77-99.
Lie, E., 2005. Operating performance following open market share repurchase announcement. Journal of Accounting and Economics 39, 411-436.
Massa, M., Rehman, Z., and Vermaelen, T., 2007. Mimicking repurchases. Journal of Financial Economics 84, 624-666.
Miller, M.H., and K. Rock, 1985. Dividend policy under asymmetric information. Journal of Finance 40, 1031-1051.
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Stephens, C., and M. Weisbach, 1998. Actual share reacquisitions in open market repurchase programs. Journal of Finance 53, 313-334.
Vermaelen, T., 1981. Common stock repurchases and market signaling empirical Study. Journal of Financial Economics 9, 139-183.
Vermaelen, T., 1984. Repurchase tender offers, signaling, and managerial incentives. Journal of Financial and Quantitative Analysis 19, 163-181.
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