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    政大典藏 > College of Commerce > Department of Finance > Theses >  Item 140.119/145922
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/145922

    Title: 不同減資事件前後的股價內涵資訊- 股票報酬分解模型之應用
    Implications of Stock Price Information Surrounding Capital Reduction Events: An Application of Stock Return Decomposition Model
    Authors: 黃天瑜
    Huang, Tien-Yu
    Contributors: 盧敬植
    Lu, Ching-Chih
    Huang, Tien-Yu
    Keywords: 股票報酬分解模型
    Stock return decomposition model
    Capital reduction by stock repurchases
    Cash refund capital reduction
    Capital reduction to write off accumulated losses
    Date: 2023
    Issue Date: 2023-07-06 17:00:34 (UTC+8)
    Abstract: 本研究透過Vuolteenaho(2002)的股票報酬分解模型,發現公司在實施不同減資事件前後各有不同的股價內涵資訊。首先,在公司實施減資前一年的股價內涵資訊中,庫藏股減資與彌補虧損減資均具有顯著為正的預期報酬訊息與顯著為負的現金流量訊息,現金減資則為顯著為正的現金流量訊息。再者,公司實施不同減資事件後的宣告效果對股價內涵資訊之影響,庫藏股減資可使公司現金流量訊息在短期一年間大幅提高,並且使公司的預期報酬訊息長期維持較低水平;現金減資則是在短期一年內使公司預期報酬訊息大幅下降,長期則使現金流量訊息平均數與變異數均大幅下降;彌補虧損減資在減資後三年間使公司的預期報酬訊息與現金流量訊息均呈現增加之趨勢。
    This study employs Vuolteenaho (2002) stock return decomposition model to examine the information content of stock prices before and after different capital reduction events. It found that prior to the capital reduction, both capital reduction by stock repurchases and capital reduction to write off accumulated losses had significant positive expected return news and significant negative cash-flow news in their stock price implications. Cash refund capital reduction had significant positive cash-flow news. Furthermore, the announcement effects of different capital reduction events had varying impacts on the information content of stock prices. Capital reduction by stock repurchases significantly increased the short-term cash-flow news within one year and maintained lower levels of expected return news in the long term. Cash refund capital reduction resulted in a significant decline in expected return news within one year, and a substantial decrease in both the average and variance of cash-flow news in the long term. Capital reduction to write off accumulated losses showed an increasing trend in both expected return and cash-flow news over the three years following the reduction.
    Reference: 中文文獻
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0110357017
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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