台湾上市柜公司库藏股宣告异常报酬之研究Ananalysis-远东科技大学.PDF

遠東學報二十一卷第二期 中華民國九十三年四月出版 台灣上市櫃公司庫藏股宣告異常報酬之研究 An analysis of Stock Repurchase Announcement effects on Taiwan’s Stock Market 徐清俊 南華大學財務管理所副教授 林惠敏 南華大學財務管理所研究生 摘 要 民國89年6月證券交易法第28條之2修正條文通過，允許上市、櫃公司於特 定條件下得自公開開市場上買回自家股票 ，庫藏股制度應運而生 。本研究採 事件研究法(Event study)探討庫藏股法令制度與其修正後之相關事件的市場反 應，研究結果發現不論上市或上櫃公司對於庫藏股購回宣告均具顯著正向異 常報酬；而在宣告日當天二者之累積異常報酬率呈現向上攀升現象，即宣告 日當天市場方對宣告資訊產生反應，此外 ，區分購回目的之結果顯示 ，以維 護公司信用及股東權益為目的之宣告較轉讓股份予員工之宣告，有較顯著之 整體異常報酬，亦即投資大眾對其有較大之偏好與反應。 關鍵字：事件研究法、庫藏股、異常報酬 Ching-Jun Hsu, Professor Graduate School of Financial Management, Nan Hua University Hui-Min Lin, Student Graduate School of Financial Management, Nan Hua University ABSTRACT In this paper adopts the Event study to inquire into an ordinance in stock system the market of its related affairs to respond after revising with it, the research result detection appears on market in spite of or the listed company buys back to announce to all have to the stock obvious just remunerate to the abnormality; And at announce two cumulative abnormal return rate of that day of days to present to heading up to increase the phenomenon, then announce the square in that day market of day to announce the information creation reaction, in addition, the distinction buy to return to purpose it result manifestation, regard safeguarding the company reputation and shareholder rights as the purpose it announce and comparing to turn to let the share announces to the employee it, having the more obvious and whole abnormal return, that is investment the