An Empirical Analysis of Stock Price Behavior Surrounding Share Repurchase Announcements

• Main Authors: Yu-Yun Wu, 吳玉雲
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/68564562133236366124

碩士 === 逢甲大學 === 經營管理碩士在職專班 === 93 === In the present research, we examine stock price behavior surrounding share repurchase announcements made by companies which have shares traded on either the Taiwan Stock Exchange or Over-the-Counter in Taiwan. The empirical analysis sample consists of 1,240 share repurchase announcements by firms from August 9, 2000 to December 31, 2004. Using daily stock returns, the market model is adopted to calculate the abnormal returns of sample companies. The event study methodology and multiple regression analysis are employed to examine（Ⅰ）stock price behavior surrounding share repurchase announcements,（Ⅱ）whether the purpose of share repurchase announcements affects stock returns differently,（Ⅲ）the factors which have an influence on share repurchase announcement effect and（Ⅳ）the factors that affect repurchase completion rates. The results from this investigation are similar to the finding of other studies. First, there is a significant stock price decline prior to its announcements and a significant stock price increase in response to stock repurchase announcements. This evidence suggests that the stock returns are significantly positively correlated to share repurchase announcements, implying that share repurchase announcements do have information content leading to an increase in the market value of firms. Second, prior to announcements, the cumulative abnormal returns for the group of “the purpose of transfer shares to employees ” are significantly lower than those for the group of “the purpose of maintaining firms’ credit and stockholders’ equity”, while the cumulative abnormal returns, over the three days after announcements are significantly higher for the group of “the purpose of maintaining firms’ credit and stockholders’ equity” than for the group of “the purpose of transfer shares to employees ”. Third, the target rate of share repurchases and the repeat of share repurchase announcements are significantly positively and negatively correlated to the announcement effect. Finally, both the cumulative abnormal returns over the execution period and the target rate of share repurchase are significantly negatively correlated to the actual share repurchase rate.