| Summary: | 碩士 === 國立臺北大學 === 會計學系 === 97 === The purpose of the study is to investigate the long- run excess returns of Taiwan listed firms and their determinants to the stock repurchase announcements. The study computes the three-year abnormal returns by assuming the buy-and-hold strategy. The sample includes the firms that had announced stock repurchase plans from August 2000 to December 2005. The sample firms are partitioned into three groups: infrequent, occasional and frequent groups. Major empirical results are summarized as the following.
First of all, the repurchasing firms enjoyed long-run positive abnormal returns after the stock repurchase announcements. In other words, the signaling effects of the stock repurchase announcements need an extended period of time to be fully reflected. Moreover, the less frequent a firm to repurchase its stock, the larger the long-run abnormal average returns.
Secondly, the study finds that the long-run market reaction to the announcement is significantly associated with the firm’s book value to market price ratio and actual repurchase rate. The results also indicate that insider ownership and firm’s profitability are positively associated with long-run abnormal returns in the frequent repurchase group, but significant results are not found in the other groups.
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