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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/145922


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    题名: 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
    作者: 黃天瑜
    Huang, Tien-Yu
    贡献者: 盧敬植
    Lu, Ching-Chih
    黃天瑜
    Huang, Tien-Yu
    关键词: 股票報酬分解模型
    庫藏股減資
    現金減資
    彌補虧損減資
    Stock return decomposition model
    Capital reduction by stock repurchases
    Cash refund capital reduction
    Capital reduction to write off accumulated losses
    日期: 2023
    上传时间: 2023-07-06 17:00:34 (UTC+8)
    摘要: 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.
    參考文獻: 中文文獻
    1. 王瑪如, & 蕭君宇. (2013). 彌補虧損減資、現金減資與庫藏股減資之市場宣告效果. 會計評論, 57 卷, 頁105-135.
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    英文文獻
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    6. Dann, L. Y. (1981). Common stock repurchases: An analysis of returns to bondholders and stockholders. Journal of financial Economics, 9(2), 113-138.
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    10. Eisdorfer, A. (2007). The importance of cash‐flow news for financially distressed firms. Financial Management, 36(3), 33-48.
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    18. Lie, E. (2005). Operating performance following open market share repurchase announcements. Journal of Accounting and Economics, 39(3), 411-436.
    19. Michaely, R., Rossi, S., & Weber, M. (2021). Signaling safety. Journal of financial Economics, 139(2), 405-427.
    20. Miller, M. H., & Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. The journal of Business, 34(4), 411-433.
    21. Miller, M. H., & Rock, K. (1985). Dividend policy under asymmetric information. The Journal of Finance, 40(4), 1031-1051.
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    24. Trigeorgis, L. (1996). Real options: Managerial flexibility and strategy in resource allocation: MIT press.
    25. Vermaelen, T. (1981). Common stock repurchases and market signalling: An empirical study. Journal of financial Economics, 9(2), 139-183.
    26. Vuolteenaho, T. (2002). What drives firm‐level stock returns? The Journal of Finance, 57(1), 233-264.
    27. Wansley, J. W., Lane, W. R., & Sarkar, S. (1989). Managements` view on share repurchase and tender offer premiums. Financial Management, 97-110.
    描述: 碩士
    國立政治大學
    財務管理學系
    110357017
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0110357017
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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