Information Discreteness and the Market Underreaction to Share Repurchase

本研究討論資訊流分佈對於股票購回事件反應不足的現象所造成的影響。首先確認台灣股票市場股票購回事件是否存在反應不足的現象，實證結果顯示無論長短期皆存在顯著正向的異常報酬，與過去國內外文獻結果一致。在確認股票購回事件反應不足的現象後，加入資訊離散度(ID)作為分類依據。資訊離散度越高的族群資訊流的分佈越分散，投資人的關注度越高，股價反應速度相對較快，資訊離散度越低的族群資訊流的分佈越連續，投資人的關注度越低，股價反應速度相對較慢。分類後的實證結果發現資訊離散度與一年內異常報酬之間存在顯著負向關係，證實資訊流的分佈確實影響股票購回事件反應不足的現象，且長期異常報酬可能亦會因股價反應速度較快而消失。We discuss how the information flows of firm affect the underreaction to open market share repurchases. Being consistent with the prior literature, we use the data from Taiwan stock market and find significant positive short-term and long-term abnormal returns after the announcement of stock repurchase of firms. After confirming stock price underreaction to open market share repurchases, we use the measure of information discreteness (ID) to identify information flows of firm and find significant negative relationship between information discreteness and abnormal returns within one year. The evidence further suggests that stock price underreaction to open market share repurchases may disappear in the long run