股票回购的市场时机选择及其影响因素研究

The Market Timing Ability and Influencing Factors of Open Market Stock Repurchases

本文基于信息不对称背景下的市场时机选择理论和委托代理理论,以2005年6月17日至2014年3月7日沪深两市A股上市公司的股票回购交易作为样本,通过构建月度数据库,从股票回购价格、经调整的股票回报率两个角度验证了股票回购存在市场择时行为,继而对股票回购择时能力的影响因素进行研究,发现控股股东性质、股票流动性和股票市场总体回报率均显著影响股票回购的市场择时能力。

Based on the market timing theory and the principal-agent theory, using listed companies' monthly data from June 17, 2005 to March 7, 2014 in Shanghai and Shenzhen Stock Exchanges, this paper has verified the existence of market timing of actual open market stock repurchases from two angles: stock repurchase price and adjusted stock returns. Moreover, factors which may affect market timing ability of stock repurchases are further studied. We find that the nature of controlling shareholders, stock liquidity and stock market returns can significantly affect market timing ability of stock repurchases.