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引文資料
題名:
區間價格下公開市場股票買回之評價:互換選擇權之應用
書刊名:
管理與系統
作者:
蔡佩玲
/
林士貴
/
池祥萱
作者(外文):
Tsai, Pei-ling
/
Lin, Shih-kuei
/
Chih, Hsiang-hsuan
出版日期:
2012
卷期:
19:2
頁次:
頁255-276
主題關鍵詞:
公開市場股票買回
;
互換選擇權
;
區間價格
;
Open market repurchases
;
Exchange option
;
Interval of repurchase price
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
1
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
1
共同引用:0
點閱:21
互換選擇權(exchange option)為提供投資人將已擁有資產轉換成另一種資產之權利。Ikenberry and Vermaelen(1996)指出管理者在公司股價被低估時,公司會在公開市場宣告OMR(open market repurchases)計畫,未來將於公開市場上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,此為互換選擇權之概念。然而,台灣上市公司宣告OMR計畫和其他國家不同點在於台灣上市公司宣告OMR計畫時必須同時宣告「區間價格」,亦即在宣告日公布區間價格上限與下限,也就是股價介於此區間價格才能在市場買回庫藏股。因此,本文在理論方面推導區間價格之互換選擇權價值。在數值方面有二個結果,第一,區間價格上下限距離越大OMR計畫訊息宣告市場反應越大。第二,將價格下限及價格下限設在使用牛頓法計算出之理論價格下限及理論價格下限即可,因此本文使用牛頓法計算出之理論價格下限及理論價格上限為合理的參考指標。實證分析上有三個結果,首先,公司宣告OMR計畫以拉抬股價為主,投資人比較相信高價而不是低價。第二,區間價格模型有較高的解釋能力,因此在評價宣告OMR計畫價值時,應加以考慮宣告買回之區間價格。最後若公司實際宣告的價格上限越接近理論最適價格上限,市場反應是顯著的,表示本文計算之理論價格上限是良好的參考指標。
以文找文
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". 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 theoretical lower limited price and the theoretical upper limited price of using the Newton's method to obtain are selection guideline. The major findings in empirical 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 exchange 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 is close to the theoretical upper limited price. Consequently, the theoretical upper limited price of the paper provides a selection guideline to companies making repurchase decisions.
以文找文
期刊論文
1.
Ginglinger, E.、L’her, J.(2006)。Ownership structure and open market repurchases in France。European Journal of Finance,12(1),77-94。
2.
Ikenberry, David L.、Theo, Vermaelen、Lakonishok, J.(1995)。Market Underreaction to Open Market Share Repurchases。Journal of Financial Economics,39(2/3),181-208。
3.
Ikenberry, David L.、Vermaelen, Theo(1996)。The option to repurchase stock。Financial Management,25(4),9-24。
4.
Oded, Jacob(2005)。Why Do Firms Announce Open-Market Repurchase Programs。Review of Financial Studies?,18(1),271-300。
5.
Kaplan, Steven N.、Reishus, David(1990)。Outside Directorships and Corporate Performance。Journal of Financial Economics,27(2),389-410。
6.
Vermaelen, T.、Lakonishok, J.、Ikenberry, D.(2000)。Stock Repurchases in Canada: Performance and Strategic Trading。Journal of Finance,55(5),2373-2398。
7.
Pugh, W.、Jahera, J. S. Jr.(1990)。Stock repurchases and excess returns: an empirical examination。Financial Review,25(1),127-142。
8.
Healy, Paul M.、Palepu, Krishna G.(1993)。The Effect of Firms' Financial Disclosure Strategies on Stock Prices。Accounting Horizons,7(1),1-11。
9.
Jagannathan, Murali、Stephens, Clifford P.、Weisbach, Michael S.(2000)。Financial Flexibility and the Choice between Dividends and Stock Repurchases。Journal of Financial Economics,57(3),355-384。
10.
Miller, Merton H.、Rock, Kevin(1985)。Dividend policy under asymmetric information。The Journal of Finance,40(4),1031-1051。
11.
Margrabe, William(1978)。The Value of an Option to Exchange One Asset for Another。The Journal of Finance,33(1),177-186。
12.
Dittmar, Amy K.(2000)。Why Do Firms Repurchase Stock?。The Journal of Business,73(3),331-355。
13.
Denis, David J.、Denis, Diane K.、Sarin, Atuiya(1994)。The information content of dividend changes: Cash flow signaling, overinvestment, and dividend clienteles。Journal of Financial and Quantitative Analysis,29(4),567-587。
14.
Lintner, John(1956)。Distribution of incomes of corporations among dividends, retained earnings, and taxes。American Economic Review,46(2),97-113。
15.
Lang, L. H. R.、Litzenberger, R. H.(1989)。Dividend Announcements Cash Flow Signalling vs, Free Cash Flow Hypothesis?。Journal of Financial Economics,24,181-191。
16.
Bajaj, M.、Vijh, A. M.(199008)。Dividend Clienteles and the Information Content of Dividend Changes。Journal of Financial Economics,26(2),193-219。
17.
Brau, J. C.、Holmes, A.(2006)。Why Do REITs Repurchase Stock? Extricating the Effect of Managerial Signaling in Open Market Share Repurchase Announcements。Journal of Real Estate Research,28(1),1-24。
18.
Brennan, M. J.、Thakor, A. V.(1990)。Shareholder Preferences and Dividend Policy。The Journal of Finance,45(4),993-1018。
19.
Li, K.、McNally(2003)。The Decision to Repurchase, Announcement Returns and Insider Holdings: A Conditional Event Study。Journal of Applied Finance,9(6),55-70。
20.
Liljeblom, E.、Pasternack, D.(2006)。Share Repurchases, Dividends and Executive Options: the Effect of Dividend Protection。European Financial Management,12(1),7-28。
21.
Oswald, D. R.、Young, S.(2004)。What Role Taxes and Regulation? A Second Look at Open Market Share Buyback Activity in the UK。Journal of Business Finance and Accounting,31(1/2),257-292。
22.
Stephens, C. P.、Weisbach, M. S.(199802)。Actual Share Reacquitions in Open-Market Repurchase Programs。Journal of Finance,53(1),313-333。
會議論文
1.
Grullon, G.(1999)。Share Repurchase Programs, Signaling and the Agency Cost of Free Cash Flows。AFA Annual Meetings。New York。
研究報告
1.
Grullon, G.、Michaely, R.(2000)。The Information Content of Share Repurchase Programs。
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