Stock Repurchases and Information Signaling-An Empirical Study in Taiwan Market

• Main Authors: Chiu, Chien Lin, 邱鍵麟
• Other Authors: Chan, Chin-Horng
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/72590455468223936336

碩士 === 長庚大學 === 企業管理研究所 === 89 === This study use an event study methodology to research the effects of the stock repurchases in Taiwan Market. We view the stock repurchase as a signal and examine the signaling information through: (1) signaling effects, (2) signaling persistence, and (3) signaling strength. The conclusions of this study are presented in three ways: (1) Signaling Effects For the total sample, stockholders gain the average abnormal return (AAR) of 1.69% that is significant at the 0.01 level on the stock repurchase announcement day A-0. Respectively, day A+1 and day A+2 AAR are 2.18% and 1.05% that are significant at the 0.01 levels. The evidence is able to support “information signaling hypothesis”. However, the average daily volume of the announcement period is not significantly different from that of all other periods. (2) Signaling Persistence We find that the cumulative average abnormal return (CAAR) was negative that preceded the announcement. The CAAR was steadily to positive over 66 days following the announcement. As a result, the stock price that was undervalued in the pre-announcement period will be corrected. (3) Signaling Strength The results are stated as follow: a. The companies which own high book-value/market-value ratios are significant related to CAAR(-2,+2). b. The big-size companies are not significant related to CAAR(-2,+2). c. The differences of repurchase purposes are not significant related to CAAR(-2,+2). d. The differences of industrial classification are not significant related to CAAR(-2,+2).