台灣上市公司持續買回庫藏股的訊號效果之研究

A Study of Signaling Effects on Sequential Stock Repurchases in Taiwan

除了台灣的上市公司以外，國外很少有公司在短期間持續多次買回庫藏股的案例，台灣的上市公司會在短期間持續多次買回庫藏股的理由，是因為政府主管當局對於買回庫藏股的法令規定。本研究採用事件研究法探討台灣上市公司持續買回庫藏股的訊號效果，衡量台灣上市公司在持續買回庫藏股的各次宣告與實際買回的行為中，是否會因為宣告買回次數的差異而有不同的訊號效果。同時，也進一步驗證持續買回庫藏股的行為是否隱涵公司股價被低估之效率市場假說。本研究的主要發現如下：1.當公司宣告與執行買回庫藏股時，股東會得到正的顯著異常報酬。2.隨著公司宣告與執行買回庫藏股的次數增加，買回庫藏股的訊號效果逐漸減弱，雖然統計上差異並不顯著。3.研究結果無法支持公司在宣告與執行買回庫藏股時存在所謂的小型股效應。由於台灣對於公司買回庫藏股的法令有異於其他國家之相關規定，本研究不討論公司買回庫藏股對股價所產生的長期效果，聚焦在公司持續買回庫藏股時，每次實施後對股價的立即影響。研究的結果發現，公司持續多次買回庫藏股的行為，並無法連續地每次都傳遞正面的訊號至股市，持續買回庫藏股的行為反而會在股票市場中創造一些「雜訊」。因此，若上市公司的經營者嘗試利用持續買回庫藏股的宣告去操縱股價，結果很可能會適得其反。

Companies outside Taiwan rarely execute sequential stock repurchaseprograms on a short-term basis. Sequential stock repurchase programs arise from aspecial stock repurchase regulatory environment. This study adopts an event studymethodology to investigate the signaling effects of sequential stock repurchaseprograms in Taiwan. Specifically, this study evaluates signaling effects amongsequential stock repurchase programs and determines if the stock repurchaseprograms signal to the market that stock prices are undervalued. The major findingsof this study are as follows: (1) stockholders earn a significantly positive abnormalreturn when stock repurchase programs are announced or executed; (2) the signalingeffect on the announcement window gradually decreases if the frequency of stockrepurchase programs increases, but this is not statistically significant; and (3) theempirical results of this study do not support the small-capital company effect ofstock repurchase programs.Instead of discussing the long-term effects of stock repurchases, this studyfocuses on the effect of sequential stock repurchase programs. The results of thisstudy imply that sequential stock repurchase programs cannot continuously sendpositive signals to the stock market. On the other hand, the practice of sequentialstock repurchases creates “noise” in the stock market. If the managers of listedfirms attempt to use the announcement of sequential stock repurchase programs tomanipulate stock prices, they may produce the opposite result.