The Announcement Effect of the Stock Repurchases and Its Determinants

• Main Authors: Hu, Yi-Ju, 胡逸如
• Other Authors: Cheng, Yu-Ting
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/z8c45u

碩士 === 國立政治大學 === 企業管理研究所(MBA學位學程) === 107 === In this paper we empirically examine the effect of stock repurchase announcements on short-term stock return through event study methodology. The study is conducted on a sample of 206 public listed firms in Taiwan that announced open‐market stock repurchases from May 31th 2016 to June 1st 2019. Results show that stock repurchase announcements have a significant effect on stock return. Firms with lower PB ratio, lower PE ratio or higher cash-assets ratio earn more significant excess returns. The possibility of stock repurchase agency problems is higher while firms has low PB ratio with low EPS, high debt ratio with low cash-assets and announcement amount, high director equity pledge ratio and debt ratio with low cash-assets ratio. High director equity shareholding ratio represents sophisticated decision making on stock repurchase. In addition, the announcement effect is positive while company has high cash-assets ratio with low debt ratio, director equity pledge ratio and buyback frequency, which supports Free Cash Flow Hypothesis.