The Announcement Effect of Stock-Repurchase

• Main Authors: Chung-Tai Lee, 李忠泰
• Other Authors: Tei-In Jin
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/96414285983244437620

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 89 === Abstract This paper uses the methodology of event-study to study the announcement effects of stock repurchases and to investigate the relationship between abnormal return and factors including the board holding, the change of insiders’ holding, the earnings to price ratio, the sector, and the firm’s individual risk. The purposes of this research are to examine： （1） if there is abnormal return after the announcement of stock-repurchase, （2） which factors would affect the magnitude of abnormal return after the announcement, and （3） the differences of results between each event-study models. Firms, which announced their stock-repurchase intentions between the period of 08-07-2000 and 12-31-2000, are included in research sample. All of the market model, the market model combined with GARCH(1,1), three-factor model, and the three-factor model combined with GARCH(1,1) are used to evaluate normal returns. The major results are follows: （1） The stock-repurchase announcements could cease the decline of share prices. （2） The announcement effect is positively related to the variable of the ratio of stock repurchases, negatively related to the variable of firm’s risk, and correlated to the variable of sector significantly. （3） Three-factor model combined with GARCH(1,1) performs better than other models at Taiwan stock market.