Long Term Price Performance of Share Capital Reduction Firms in Taiwan Stock Market

[[abstract]]摘 要 本研究以2000 年8 月至2005 年6 月間的上市櫃公司減資以彌補 虧損及庫藏股辦理註銷為研究標的， 分析彌補虧損減資與庫藏股購回 註銷減資二種不同之減資行為長期異常報酬。本研究方法依據 Ikenberry et al (1995)所使用之方法， 採簡單平均報酬(equal-weighted returns)、價值加權平均月報酬（ value-weighted returns ）、規模市值 （ size-based market value）、規模淨值市價比（ size-book-to-market ratio） 四種方法以測量二種減資行為公司之長期績效。 實證結果顯示， 實施庫藏股減資與彌補虧損減資之公司， 兩者在 三年的長期績效追蹤上有25 .24%及5. 89%的異常報酬， 但在顯著水準 10%檢定下，其長期報酬並未顯著異於零。本研究進一步嘗試了解減資 公司是否在營運上出現結構性的轉變， 實證結果發現， 彌補虧損減資 公司僅於速動比率項出現結構性改變； 而庫藏股減資公司除在現金流 量報酬、每股盈餘及資產報酬率沒有出現結構性改變外， 速動比率、 現金流量率、營業利益率及權益比率有出現結構性改變， 本研究推論 二種減資公司之異常報酬為規模效果與帳面市值比效果所解釋。[[abstract]]ABSTRACT This study investigates the long run abnormal returns of capital reduction and stock repurchase firms who exercised within the period of Aug 2000 to Jun 2005 Adopting the methodology used by Ikenberry et al (1995); equal and valued weighted indexes size-based and size-book-to-market-based benchmarks were employed to measure the long run abnormal returns for these two kinds of firms The results show the abnormal returns of 25. 24% and 5. 89% for stock repurchase and capital reduction firms while we trace the performance for three years These cumulative abnormal returns are indifferent from zero significantly under the 10% level We go further to identify whether capital reduction firms experience structural change in operation Only the quick ratio shows in our investigation Contrarily the quick ratio free cash flow return operating profit ratio and debt-to-equity ratio experience structural change significantly in the case of stock repurchase firms We interpret the abnormal returns for these two capital reduction firms can be explained by size and book-to-market effect