| Summary: | 碩士 === 中原大學 === 會計研究所 === 95 === Abstract
Through behavioral finance theory and empirical study, which impel stock price deviated from basic reason of value. When investors over-evaluate the accuracy of information and ability to understand information oneself, they are easy to produce the overconfidence due to their over-reactions and under-reactions in response to open information to privately owned information, and has produced the continuous kinetic energy of the stock short-term remuneration. As the disclosing information finally proves the behavior of the well-informed one that is partial by mistake, and then present the overturning of stock long-term remuneration.
This dissertation used the assumptions of the overconfidence and biased self-attribution and oneself in DHS model with behavioral finance, probe into investing people in the stock repurchases and the response to the stock price back after information is released. At the same time, according to such parameters as the information content declared of the industry etc., probe into a company of different parameters and declare whether the stock remuneration has apparent differences after stocks are bought back. Take the studying from January 2002 to December 2006 for example, apply for listed company that stock repurchases sample, and we use the event study method to survey daily data, the OLS method to estimate the stock betas. Observe and declare the before and after tendency of the stock price, which are found in this result of study:
1. The stock repurchases before the announcement, the informed investors are not obtaining news in advance, because the stock price goes up. The repurchase duration continue buying the stock because the informed investors will return due to the biased self-attribution. In addition, the un-informed investors of news join and chase the ranks of the price; the average returns are sustained and supported for the positive hypothesis. The stock repurchases to finish accumulating the average returns and beginning to drop while carrying out, support the stock price to overturn and revise and return to basic value eventually.
2. As for grouping respect, after declaring stocks are bought back, the industry buy purpose back, buy number of times back and schedule person who buy back four mate group in every window accumulation average unusual rate of returns of issue for difference of showing. It is not the electron industry that is higher than the electron industry; it is higher than not safeguarding the purpose to safeguard the purpose; seldom buy back and higher than often buying back; scheduled to buy back and is higher than the low group scheduled to buy back high.
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