Testing the Information Content of Stock Prices during Common Stock Repurchases: Evidence from Taiwan Stock Market

• Main Authors: Hsiang-Tai Yu, 游祥泰
• Other Authors: Tung-Liang Liao
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/xsx9fr

碩士 === 逢甲大學 === 企業管理所 === 90 === This study explores the information content of stock prices during stock repurchase announcements and related factors that affect announcements for the Taiwan Security Market. Market model and GARCH model are used to obtain abnormal returns (AR) and cumulative abnormal returns (CAR). GARCH effect is also considered in the event period. Additionally, multiple regression analysis is performed to clarify how the CAR (dependent variable) and some independent factors (e.g., the repurchase purposes, industries,…) are related. Major findings can be summarized as follows: 1.Stock repurchase announcements could yield significant positive abnormal returns by market and GARCH models implying that firms can apply repurchase announcements to signal favorable information to the market. 2.The repurchase purposes, industries, and book-to-market ratio significantly the announcement effect. The CAR of “ the purpose of maintain firm’s credit” is significantly higher than that of “the purpose of transfer shares to employees”. Additionally, the CAR of the electronics industry is significantly lower than that of the finance and the conventional industries. Moreover, the CAR of firms with a high book-to-market ratio is significantly higher than that of firms with a low book-to-market ratio. 3.Regression analysis results indicate that book-to-market ratio largely accounts for cumulative abnormal returns during stock repurchase announcements.