[[alternative]]The Motives of Stock Repurchase: An Empirical Test of Signaling Hypothesis

[[abstract]] 台灣於2000年8月頒訂「上市上櫃買回公司股份辦法」後，實施庫藏股購回制度至今已十餘年。文獻上有關股票購回的動機已發展出多項假說，而本論文的研究目的，即在檢驗當中的「訊號假說」。該假說主張，公司會透過購回被低估股票之動作以傳遞該公司未來收益是樂觀的訊息給投資大眾。本文以廠商生產力除以廠商股價淨值比之比值做為衡量廠商股價被低估程度之變數，研究樣本取自2002-2007年間，台灣標準行業分類中的電子零組件與電腦、電子產品及光學製品兩製造業之上市公司。實證結果顯示:（1）兩產業投入的資本存量與勞動工時皆與產出的附加價值呈正向且非常顯著之關係；（2）兩產業的平均生產力，在研究期間並無顯著變化，而實施庫藏股購回的廠商家數與購回次數，則在同期間的2004年時，皆有異於其他年份之倍增的狀況；（3）廠商股價被低估程度之變數與廠商實施庫藏股購回動作，呈現高度相關聯性，支持訊號假說。[[abstract]] Not until August of year 2000, Taiwanese firms had not been allowed to buy their shares back in the open market. The literature regarding the motives of share re-purchase has been well documented, such as the signaling hypothesis, free cash flow hypothesis, etc. The purpose of this study is to investigate the information content of share repurchase in Taiwan. Specifically, we intend to empirically test whether the motive of share repurchase supports the signaling hypothesis where a firm purchases its shares in the open market to signal its current market undervaluation and a better prospect due to asymmetric information in the market. Using the announced open market share repurchases data from the Market Ob-servation Post System and the financial data from the Taiwan Economic Journal Data Bank, we estimate the parameters of production functions for both the electronic components and computers, electronic products manufacturing industries respectively, and then use those estimates to calculate the firm’s unobserved productivity. Next, we define the value that taking the productivity divided by the price-to-book ratio to measure the magnitude of the firm’s undervaluation, and further investigate its rela-tionship with the behavior of the firm’s share repurchase using Probit model. The em-pirical results show that there exists a significant and positive relationship between firm’s undervaluation and the announcement of open market share repurchase. Namely, when a company’s share price is underestimated, it is more likely to implement the stock repurchase, which is consistent with the signaling hypothesis