宣告股票購回股價長期績效-在不同的買回方法下

• Main Authors: Kai-Hsuan Chang, 張凱炫
• Other Authors: De-Wai Chou
• Format: Others
• Language: en_US
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/95241313167066076955

碩士 === 元智大學 === 財務金融研究所 === 93 === According to the empirical study (Dann(1981), Vermaelen(1981), Asquith and Mullins(1986), and Comment and Jarell(1991)), the firms will have significant abnormal return after repurchase announcement based on signaling hypothesis. But we want to search the stock performance of share repurchase in the long-term: base on different repurchase methods. The samples we set are firms traded on the NYSE, AMEX, or NASDAQ between 1987 and 2000 was collected from the Security Data Company. In my study, we used four models to calculate long-term abnormal stock returns. First, we used CAR approach to calculate abnormal returns. Second, we measure a firm’s long-run performance by buy-and hold method. Third, we use the three- factor model of Fama and French (1993) to estimate long-run average abnormal returns. Finally, we used the three-factor model which adds a momentum factor to construct the four- factor model.