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題名：行為財務模式下股票買回對股價影響之研究
作者：謝申章
作者(外文)：Shieh Shen-Jang
校院名稱：國立臺北大學
系所名稱：企業管理學系
指導教授：郭崑謨
古永嘉
學位類別：博士
出版日期：2004
主題關鍵詞：效率市場假說；行為財務；股票買回；事件研究法；Efficiency Market Hypothesis；Behavioral Finance；Stock Repurchase；Event Study
原始連結：連回原系統網址new window
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本研究以「行為財務」模式之過度自信及偏誤自我歸因為假設前題，建構利多消息釋出後市場股價的反應模式，並以公司宣告股票買回之訊號發布為主題，進行實證研究。本研究著重於探討宣告事件前後股價的變動方向與轉折點，以期對於資訊釋出時，市場反應不足或過度反應的假說，提出綜合性的解釋；同時根據公司特性、宣告的資訊內涵及實際買回執行率等變數，探討不同屬性的公司於宣告股票買回前後股票報酬是否有顯著的差異；最後探討企業執行股票買回決策時是否有策略性考量。在民國89年8月7日至92年6月30日期間申請買回股票之上市公司中，篩選出192個樣本，以事件研究法驗證週資料，並以市場模式來調整其他干擾因素，視數列特性分別採用最小平方法或一般化自我迴歸條件變異數法進行估計，觀察宣告前後中長期走勢。實證結果發現(1)股票買回具有宣告效果，宣告前八週之累積平均異常報酬均為顯著負值，不支持股票買回宣告前消息靈通人士已事先介入買進股票導致正異常報酬的假說，顯示公司管理當局並無策略性買回股票的行為；宣告當週、執行期期間及宣告後半年期間之累積平均異常報酬均為顯著正值，支持市場視本訊息為利多消息，買回執行期間因消息靈通人士陸續買進股票，消息不靈通人士亦跟隨買進股票，平均異常報酬率持續為正的假說；宣告後第26週至第36週之平均異常報酬多為負值，支持股價過度偏離基本價值，終致反轉的假說。(2)產業、買回目的、執行率及買回價位等四個配對組在三個窗口期之累積平均異常報酬率有顯著差異；公司規模、成長機會、買回次數等三個配對組在四個窗口期之累積平均異常報酬率有顯著差異。非電子產業及價值型股票的價值雖被市場嚴重低估，但是並不如預期有較大之正累積異常報酬；經常宣告買回公司股票之正累積異常報酬遠高於偶爾宣告買回公司股票與預期相反，顯示經常宣告買回公司並無策略性考量；其餘小型、有護盤目的、高執行率及高價買回公司股價之累積平均異常報酬率均如預期大於配對組，顯示公司實際買回之行動越積極越能獲的投資人的信任。
This dissertation used the assumptions of the overconfidence and the biased self-attribution of the behavioral finance model to construct the reaction model of stock price after the announcement of good news. The repurchase announcements of Taiwan stock market considered as the selective events were also investigated.
The main goal of this dissertation was to study the moving trend and turning point of stock prices before and after the repurchase, and to compositely explain the phenomenon of overreaction and under reaction. Then, the samples were classified according to the corporate properties, the information of announcements, and the repurchase actions to discern were there significant differences between the returns of each groups.
The sampling period was from 7th August 2000 to 30th June 2003, and we used the event study method to survey the192 samples’ weekly data. We adopted the adjusted market model to moderate the effect, either OLS or GARCH method to estimate the stock betas.
We had found that the announcement effect of repurchases. There were significantly negative cumulative average returns 8 weeks before the announcement in both full sample and sub-samples. There was no evidence to show that the informed investors purchased the stocks before the announcement. The average returns or the cumulative average returns of the announcement week, the repurchase duration, and the half-year after announcement were significantly positive. And the cumulative average returns between 26th and 36th after the announcement were not significantly negative. It was clearly that the informed investors would purchase the stock due to their overconfidence and self-biased attribution, and the un-informed investors would continually purchase the stocks following the informed investors about 26 weeks. But in the long run, the stock prices would reverse owing to the overreaction of both the informed and un- informed investors.
There were significant differences in cumulative average returns between all paired groups, that were classified according to industry, size, growing opportunity, the purpose of repurchase, the frequency of repurchase, the repurchase rate, and the repurchase price. Although the stocks of non-electronic industry and the stocks value type were under-evaluated by the market, their cumulative average returns were not positive enough as we expected. Opposite to our supposition, the stocks of frequent announcers had more cumulative average returns than that of the infrequent announcers that was not strategy consideration of frequent announcers. The cumulative average returns stocks of small, price holding, high repurchase rate, and high repurchase price companies were more positive than the other paired groups, and more trust the information of the announcers.
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