系統識別號 | U0002-0806202122060800 |
---|---|
DOI | 10.6846/TKU.2021.00196 |
論文名稱(中文) | 投資人意見分歧與股票回購--以台灣為例 |
論文名稱(英文) | Investor Opinion Divergence and Stock Repurchase--The Case of Taiwan Stock Markets |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 財務金融學系博士班 |
系所名稱(英文) | Department of Banking and Finance |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 109 |
學期 | 2 |
出版年 | 110 |
研究生(中文) | 陳羽莉 |
研究生(英文) | Yu-Li Chen |
學號 | 807530067 |
學位類別 | 博士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2021-05-15 |
論文頁數 | 52頁 |
口試委員 |
指導教授
-
邱忠榮(jrchiou@mail.tku.edu.tw)
指導教授 - 李命志(mlee@mail.tku.edu.tw) 委員 - 鍾惠民(chunghuimin8@nycu.edu.tw) 委員 - 謝文良(wlh@nycu.edu.tw) 委員 - 林允永(yunlin@mail.tku.edu.tw) 委員 - 顧廣平(108144@mail.tku.edu.tw) 委員 - 邱忠榮(jrchiou@mail.tku.edu.tw) |
關鍵字(中) |
意見分歧 回購 異常交易週轉率 |
關鍵字(英) |
investor opinion divergence repurchase abnormal trading turnover |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
傳統資本資產定價理論和效率市場的的同質性預期假設無法解釋所有的金融異象,Miller (1977)因此提出意見分歧與放空限制來解釋這樣的現象。目前國內探討回購與意見分歧的文獻尚付之闕如,本文主要在探討投資人意見分歧是否可以影響公司做出回購計畫的決定,另外,也測試投資人意見分歧是否可以解釋回購宣告後的長期異常報酬。意見分歧有很多代理變數,本文以異常交易週轉率(ATO)當做投資人意見分歧的代理變數。Logistic Regression 顯示ATO在1%的信心水準下顯著為正,表示投資人意見分歧對公司回購決定的確是個影響因子。OLS迴歸的結果顯示投資人意見分歧對回購宣告後的長期異常報酬沒有關係。而將投資人意見分歧依程度區分為高、中、低後可以發現,意見分歧中、低程度的公司對長期異常報酬呈現不同程度的正向顯著關係。整體而言,本文的實證結果顯示投資人意見分歧可以幫助解釋公司的回購計畫及回購宣告後的股價變化,但需架構在不同程度的意見分歧上。 |
英文摘要 |
To derive the traditional pricing model, homothetic expectation assumption plays an important role. However, investors may differ in their forecasts in reality. On the other hand, studies on the efficient market hypothesis report many anomalies which, in turn, are all relate to homothetic expectation assumption. Studies along the directions mentioned above are many. However, not many works on investor opinion divergence and stock market anomalies jointly can be found in Taiwan. This study examines the relationships between investor opinion divergence and stock repurchase of Taiwan stock markets. To proxy investor opinion divergence, abnormal trading turnover (ATO) is used and the results of Logistic Regression indicates that investor divergence is indeed an important consideration while companies are making their repurchase decision. In addition, empirical evidences show that short-term abnormal returns are observed after the announcement of repurchase announcement but not for the cases of long term. To explore more, we divide the sample into high, medium, and low subsamples according to the degree of ATO. Empirical evidences suggest that positive and significant relationships with long-term abnormal returns are only found among medium and low firms. In sum, the empirical results of this study reveals that investor disagreements in Taiwan stock markets can help explain in part how firms making their repurchase decisions and the phenomenon that observed after the announcement of repurchase. |
第三語言摘要 | |
論文目次 |
目次 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 5 第三節 研究架構 9 第二章 文獻回顧 10 第一節 投資人意見分歧理論 10 第二節 回購的動機 13 第三節 投資人意見分歧代理變數 15 第四節 台灣證券市場與投資人意見分歧有關的研究 18 第三章 資料來源及研究方法 20 第一節 衡量投資人意見分歧的代理變數 23 第二節 建立回購事件樣本 25 第三節 研究方法 28 第四章 實證結果與分析 32 第一節 樣本資料數據總結 32 第二節 回購的決定因子 37 第五章 結論 44 參考文獻: 46 表次 表 1上市公司年度公開市場回購宣告事件和股票報酬 33 表 2上櫃公司年度公開市場回購宣告事件和股票報酬 34 表 3回購公司與沒回購公司的ATO與基本財務因子 36 表 4回購決定和投資人意見分歧 38 表 5回購宣告後的異常報酬和投資人意見分歧 39 表 6回購宣告後的長期異常報酬和不同程度的投資人意見分歧 40 表 7回購宣告後的長期異常報酬和不同程度的投資人意見分歧 42 |
參考文獻 |
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