中国上市公司股份回购的经济后果研究——来自A股市场2005—2013年的经验数据

Research on the Economic Effects of Share Repurchases for Listed Companies in China:Empirical Evidence from A-share Stock Market

本文以我国2005—2013年间进行公开市场股份回购的A股上市公司为样本,基于信息不对称理论和市场有效性假说,对公司股份回购的经济后果——长短期市场效应、财务效应以及信号传递效应进行全面、系统地验证和分析。研究结果显示,我国上市公司股份回购的短期市场效应显著,累计超常收益率变化大致为4.51%,但不存在长期的正向超常收益率;股份回购后企业表现出经营业绩持平,但投资水平显著下降的特征;股份回购向投资者传递企业目前财务稳健,有能力向股东返还多余现金,且管理层不会过度投资的信息。分析结果验证了自由现金流量假说。

Share repurchase, as a crucial way for capital withdrawl and redistribution of values, is gaining increasing attention of corperate managers, investors, goveronment controlors and other stakeholders. In order to comprehensively analyze three economic effects, including market effect （both short-term and long-term）, financial effect, and signaling effect, of share repurchase on public companies, this paper gives an empirical study to verify the changes of stock price and financial indicators after share repurchase, simultaneously analyze the information which companies want to deliver to inventors, based on the theory of asymmetric information and efficient market hypothesis. Our data come from the sample of listed companies in China which have announced open market share repurchase in year 2005 to 2013. The results show that, 1 ）share repurchase has significant short-term market effects, which gives a cumulative abnormal return up to about 4.51% （window [ -4,4 ] ）, but no significant long-term effect on positive abnormal returns, this kind of temporary positive reaction cannot last for a particular length of time, 2 ） share repurchase might mean decreased investment opportunities but not fluctuate operating performance in the subsequent three years, 3 ）free cash flow hypothesis should be supported, that is, share repurchase demonstrates steady financial en- vironment of the enterprise, which means more free cash for dividends and a low chance of overinvestment. We also designed a regression analysis on short-term market effects and financial performance changes, found that firms with high cash level but lack of investment opportunities have more severe market reaction, further verified the prediction effect of free cash flow hypothesis. Analyzing empirical verification results we know that, firstly, instead of giving full play to its long-term effectiveness to enhance company＇s true value, the more will that domestic listed companies use share repurchase is to cater the need of short-term stock price as a tool. Secondly, as a flexible and practical way of capital withdrawl and value distribution, the multi-dimensional motivation and importance of share repurchase in China has yet to be further understanding. As lacking of consideration on strategic level, now companies in our country just tentatively return redundant free cash in the face of decelerated growth, the timing and motivation to use share repurchase is still relatively single. Thirdly, share repurchase in our country is a kind of indirect transfer, the signaling effects is not obvious. It seems that companies determine to buy back outstanding shares just for solving their own problems, but not for delivering information. Finally, the information leak phenomenon of share repurchase in advance reveals supervision shortage of goveronment controlors and the nonstandard operation of listed companies. We suggest as follows, in the first place, the extent and intensity of market effect to share repurchase is influenced by various factors besides development stage, scale and structure of enterprise, so a flexible combination of repurchase elements instead of a simple distribution tool under growth slowdown could be much better in improving operation efficiency. In the second place, to establish and perfect post-evaluation system for the financial impact of share repurchase from multiple dimensions, thus to further compare companies＇ performance changes before and after the share repurchase in all aspects. Furthermore, enterprises need to establish effective signaling mechanism because of long-standing information asymmetry problem. It can be helpful for outside investors to identify the quality of corporate profits, also it stimulates operators to improve operation and management, reduce agency cost and increase the value of the company. Last but not least, to consummate the current domestic legal regulations and strengthen supervision, encourage and guide share repurchase to operate in a legal and rational way, then make sure the timeliness and fairness of information disclosure. Our work is the most comprehensive one on the economics effects of share repurchase at present. This paper not only support stakeholders with empirical data to fully understand, predict and regulate the behavior of share repurchase, but also provide a theoretical reference for buyback market regulations and construction of laws.