Title page for 944308014


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Student Number 944308014
Author Ya-Ling Su(蘇雅玲)
Author's Email Address No Public.
Statistics This thesis had been viewed 1389 times. Download 412 times.
Department Executive Master of Finance Management
Year 2006
Semester 2
Degree Master
Type of Document Master's Thesis
Language zh-TW.Big5 Chinese
Title The Short-Term and Long-Term Stock Reactions on Stock Repurchases in Taiwan
Date of Defense 2007-06-24
Page Count 63
Keyword
  • abnormal returns
  • announcement effect
  • event study
  • long-term effect
  • stock repurchases
  • Abstract Stock repurchases have implemented in Taiwan for several yeas. However, the datasets and sample periods in previous relevant literatures are limited. In this study, we reexamine the impacts of the event on stock prices. This study adopts the standard event-study method to examine the stock price reaction to the stock repurchases of firms listed on TSEC and OTC in Taiwan form 2000 to 2006. We investigate whether the announcement effect and long-term effect exist due to stock repurchases. Furthermore, to understand whether different industries or execution rates in stock repurchases influence the abnormal returns, we separate full sample into electronic/non-electronic industry and high/low execution rate. The empirical results are as follows. We find that the cumulative abnormal returns of event firms are positively significant around announcement date. In particular, non-electronic industries and firms with low execution rate earn higher abnormal returns than electronic industry and firms with high execution rate, respectively. As for the long-term effect, we find that the 3-year EW/VW buy-and-hold abnormal returns are also positively significant. Firms in non-electronic industries have more significant abnormal returns than those in electronic industry, and we find that long-term effect still exists after skewness adjustment for t-statistics.
    Table of Content 中文摘要..................................................................................................................Ⅰ
    英文摘要..................................................................................................................Ⅱ
    誌謝辭......................................................................................................................Ⅲ
    目錄...........................................................................................................................Ⅳ
    圖目次......................................................................................................................Ⅵ
    表目次......................................................................................................................Ⅶ
    第一章緒論
    第一節研究動機.............................................................................................1
    第二節研究目的.............................................................................................2
    第三節研究流程與研究架構........................................................................3
    第二章我國庫藏股制度實施概況
    第一節上市上櫃公司買回庫藏股分布狀況..............................................4
    第二節各產業別實施庫藏股情形...............................................................5
    第三節各產業別、買回目的及執行率情形................................................5
    第三章文獻探討
    第一節實施庫藏股之動機假說...................................................................8
    第二節國外文獻探討..................................................................................10
    第三節國內文獻探討..................................................................................12
    第四章研究方法
    第一節研究假說...........................................................................................17
    第二節研究範圍與資料來源......................................................................19
    第三節研究方法...........................................................................................20
    第五章實證結果與分析
    第一節短期事件研究之實證結果分析.....................................................24
    第二節長期事件研究之實證結果分析.....................................................30
    第六章結論
    第一節研究結論...........................................................................................33
    第二節研究建議...........................................................................................34
    第三節研究限制...........................................................................................35
    參考文獻..................................................................................................................36
    Reference 一、英文文獻:
    1. Asquith, P., and D.W. Mullins, 1986, Signalling with Dividends, Stock  Repurchases, and Equity Issues, Financial Management 15, 27-44.
    2. Brown, S.J., and J.B. Warner, 1985, Using Daily Stock Returns : The Case of Event Studies, Journal of Financial Economics 14(1), 3-31.
    3. Barber, B.M., and J.D. Lyon, 1997, Detecting long-run abnormal stock returns:   the empirical power and specification of test statistics, Journal of Financial Economics, 43, 341-372.
    4. Dann, L.Y., 1981, Common Stock Repurchases-An Analysis of Returns to Bondholders and Stockholders, Journal of Financial Economics, 113-138.
    5. Dann, L.Y., R.W. Masulis, and D. Mayers., 1991, Repurchase Tender Offers and Earnings Information, Journal of Accounting and Economics 14, 217-251.
    6. Fama, E.F., L. Fisner, M. Jensen, and R. Roll, 1969, The Adjustment of Stock Prices to New Information, International Economic Review 10(1), 1-21.
    7. Hertzel, M. and P. Jain, 1991, Earnings and Risk Changes Around Stock  Repurchase Tender Offers, Journal of Accounting and Economics, 253-274.
    8. Ikenberry, D., J. Lakonishok, and T. Vermaelen, 1995 , Market underreaction to open market share repurchases, Journal of Financial Economics 39, 181-208.
    9. Ikenberry, D., J. Lakonishok, and T. Vermaelen, 2000, Stock Repurchases in Canada : Performance and Strategic Trading, Journal of Finance 65(5), 2373-2397.
    10. Liu, C.S., and D.A. Ziebart, 1997, Stock Returns and Open Market Stock Repurchase Announcement, the Financial Review 32, 709-728.
    11. Mitchell, M.L., and E. Stafford, 2000, Managerial decisions and long-term stock prices performance, Journal of Business 73, 287-329.
    12. Stephens, C.P., and M.S. Weisgach, 1998, Actual Share Reacquisitions in Open-Market Repurchase Programs, the Journal of Finance, February 3(1), 313-333.
    13. Vermaelen, T., 1981, Common Stock Repurchases and Market Signaling : An Empirical Study, Journal of Financial Economics 9, 139-183.
    二、中文文獻:
    1. 王隆潔,「庫藏股買回對股價的影響──台灣上市上櫃公司電子股為例」,私立大同大學事業經營研究所碩士在職專班,民國91年。
    2. 李宗祥,「上市公司買回本公司股份之研究」,國立台灣大學財務金融研究所,民國90年6月。
    3. 李陽,「台灣上市公司實施庫藏股與股價異常報酬反應之探討」,國立成功大學企業管理學系碩士班,民國94年6月。
    4. 林玉成,「上市公司庫藏股宣告資訊內涵及及操作策略之分析」,高雄第一科技大學財務管理學系研究所,民國90年6月。
    5. 林秀蓉,「我國上市公司購回庫藏股宣告效果之實證研究」,國立台北大學企業管理學系碩士班,民國89年6月 。
    6. 許明裕,「上市公司買回庫藏股之資訊內涵實證研究及實例分析」,私立東吳大學會計學系碩士論文,民國90年。
    7. 鄒安鵬,「台灣上市公司多次實施庫藏股買回宣告效果」,私立淡江大學財務金融學系碩士班,民國94年6月。
    8. 楊文振,「股票買回對股價行為之影響-考量宣告效果與執行效果下的實證結果」,私立朝陽科技大學財務金融研究所,民國91年6月。
    9. 駱姿蓓,「我國庫藏股制度與股價之實證研究-以上市公司為例」,國立 中正大學企業管理研究所,民國90年6月。
    10. 關慕廉,「臺灣上市公司庫藏股購回之異常報酬分析與效率性檢定--以  多因子模型為例」,私立淡江大學財務金融學系碩士班碩士論文,民國94年6月。
    Advisor
  • Keng-Yu Ho(何耕宇)
  • Files
  • 944308014.pdf
  • approve in 2 years
    Date of Submission 2007-07-18

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