我国公开市场股票回购的信号作用研究  

Research on the Signal Function of Open-market Repurchase in China

作　　者：董竹[1] 马鹏飞[1] Dong Zhu Ma Pengfei

机构地区：[1]吉林大学商学院

出　　处：《数量经济研究》2017年第2期116-131,共16页The Journal of Quantitative Economics

摘　　要：本文以2005~2014年我国公开市场股票回购事件为研究对象,利用Lie（2005）和Gong等（2008）的样本匹配方法,选择可比公司作为参照,从回购动机与市场反应两个方面进行讨论。得到结论：信号传递理论在我国公开市场股票回购中是成立的,但只存在于真回购（宣布回购计划并实施的）公司中。具体表现为,只有真回购公司的股价在宣布回购前处于被低估状态,也只有真回购公司在宣布计划时会获得超额收益,这体现了A股市场对真假回购的识别能力。并且,投资者对真回购公司授权回购规模表现得较为积极,规模越大,公司获得的累计超额收益也越高。本文的结论不支持自由现金流理论,认为股票回购不是减少代理成本的手段,而是代理成本降低的结果。This paper discussed the motivation of share repurchase and reaction of the market,using the sample matching method（ Lie,2005; Gong et al,2008） to choose the comparable companies,with the open-market repurchase from 2005 to 2014 as the object. The conclusion is that,in China the Signaling Theory is tenable,but only in the real repurchase corporations（ who announced the share repurchase plan and implemented）. For specific performance：only the real repurchase corporations＇ share price is undervalued before the repurchase announcement,and gets an abnormal return. It showed a recognition capability of China＇ s ＂A shares＂ market. In addition,only in the real repurchase corporations,the announced program size would be concerned,which means the bigger the size,the more cumulative abnormal return. The conclusion of this paper do not support the Free Cash-flow Theory and the repurchase is not a method to decrease agency cost,but is the result of decreasing agency costs.

关 键 词：公开市场 股票回购 信号理论 回购动机 累计超额收益 

分 类 号：F832.51[经济管理—金融学]