The Short-Term and Long-Term Stock Reactions on Stock Repurchases in Taiwan

• Main Authors: Ya-Ling Su, 蘇雅玲
• Other Authors: 何耕宇
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/94598684541452221421

碩士 === 國立中央大學 === 財務金融學系碩士在職專班 === 95 === Stock repurchases have implemented in Taiwan for several yeas. However, the datasets and sample periods in previous relevant literatures are limited. In this study, we reexamine the impacts of the event on stock prices. This study adopts the standard event-study method to examine the stock price reaction to the stock repurchases of firms listed on TSEC and OTC in Taiwan form 2000 to 2006. We investigate whether the announcement effect and long-term effect exist due to stock repurchases. Furthermore, to understand whether different industries or execution rates in stock repurchases influence the abnormal returns, we separate full sample into electronic/non-electronic industry and high/low execution rate. The empirical results are as follows. We find that the cumulative abnormal returns of event firms are positively significant around announcement date. In particular, non-electronic industries and firms with low execution rate earn higher abnormal returns than electronic industry and firms with high execution rate, respectively. As for the long-term effect, we find that the 3-year EW/VW buy-and-hold abnormal returns are also positively significant. Firms in non-electronic industries have more significant abnormal returns than those in electronic industry, and we find that long-term effect still exists after skewness adjustment for t-statistics.