股票購回影響因素之理論與實證：資訊不對稱觀點分析

A Theoretical and Empirical Analysis of the Open-market Share Repurchase: Based on the Viewpoint of Asymmetric Information

本研究旨在探討，於資訊不對稱情況下，影響公司採取股票購回策略之多項因素。本文首先建立賽局模型說明：當（a）內部關係人的持股比例較高 （b）市場上優質公司所佔的比例較高 （c）股票購回的比例較低 （d）市場上公司市值的差異性較大時，公司將較容易實施股票購回政策，以對市場釋放訊號。而後，為了驗証上述模型，本研究使用2001年1月1日至2003年12月31日台灣股市上市公司資料，總計491家公司，分屬14個產業，其中有76家公司在資料期間宣告與進行股票購回之行動。實證資料驗証模型結果如次：除了公司內部關係人持股比例不顯著外，其餘變數的統計資料估計結果都與本研究所建立的模型推論一致。本研究的實證結果驗証了在資訊不對稱下，訊號釋放理論可以解釋公司採行股票購回之行為。另外在實務上，本研究也提供投資者一個方法以觀測公司是否會採行股票購回政策。

This research explored the determinants of a company’s intention to repurchase its own stock from the open-market, under the situation of the information asymmetry. A game-theory model was formulated, in which four variables are identified as the determinants of the company’s strategy for repurchasing its own stock: (a) proportion of share-holding by the insiders, (b) proportion of good companies in the stock market, (c) proportion of shares being previously repurchased from the market, and (d) variances of market values of the stocks in the market. All the variables, except for (c), are predicted to have a positive relationship with the intention to repurchase its’ own shares from the open-market. To empirically test the model, this study used a data set from the Taiwan stock market dating from 2001 to 2003, containing 491 companies and 14 industries. During the data collection period, 76 companies in the data set did repurchase their own stock from the market. The empirical test findings were consistent with the model prediction, except for the proportion of shares held by insiders, which was not a significant variable. The research findings confirmed that the information-signaling hypothesis under information asymmetry has an ability to explain a firm’s behavior in share repurchase. This research also provides some information to investors regarding the potential for a company to repurchase its’ own stock from the open market.