家家家家家家家家家家家家家家家家家家家 The Effect of Family Firms on the Abnormal Returns of Stock Repurchases 翁翁翁 翁翁翁翁翁翁翁翁翁翁翁翁翁翁翁 翁翁翁翁 Email Address：[email protected] 翁翁翁 翁翁翁翁翁翁翁翁翁翁翁翁翁翁翁 翁翁翁 Email Address：[email protected] 家 家 翁翁翁翁翁翁翁翁翁翁翁翁翁翁 ，，，，；；。，；，，；，。 家家 ：,家家家,家家家家家家 1.家 家 1.1 家家家家家家家 翁翁翁翁翁 ，，，一。翁翁 翁 翁 翁 一體，，翁翁翁翁翁 翁 翁 、，。 Bushman, Chen,Engel, and Smith (2004)翁 翁翁翁翁翁翁翁翁翁 ，；，，， 翁翁 ，，。翁翁翁 ，一。 Diamond and Verrecchia（1991 翁翁翁翁 ），。，。 翁翁翁翁翁 翁翁翁翁翁翁翁翁翁 ，，，，， (La Porta et al. 1999) 翁翁翁 ，；。。 1.2 家家家家 翁翁翁翁翁 翁翁翁翁翁 翁翁翁翁翁翁翁翁翁 翁翁翁翁翁翁翁翁翁翁 一，；，體，，，體。； (翁翁)翁翁翁翁翁(翁翁)翁 翁 。： 翁 一、。 翁翁 、。 翁翁翁 、、。 2.家家家家 2.1 家家家家家家家家 翁翁翁翁翁 翁 翁翁翁翁翁翁翁翁翁翁翁翁翁翁 ，一。，， :Jensen(1986)翁翁翁翁翁翁翁翁翁翁翁翁翁翁翁翁翁翁翁翁翁翁翁翁翁翁(Excess Capital Returns) 翁 ， Stephens &Weisbach(1998) 翁 翁翁翁 ，，， Bagwell & Shoven(1988)翁翁翁翁翁翁 翁翁翁翁翁翁翁翁翁翁翁翁翁翁翁翁 。 Dittmar(2000) 翁翁翁翁翁 翁翁翁 ，： (翁翁)翁 翁 翁 翁 翁 、、、、。 翁翁 ，(2007)翁翁翁翁翁翁翁翁翁翁TEJ翁翁翁翁翁─翁翁翁翁翁翁 、、、 La Porta 翁翁(1999)翁 翁 ， 20%翁翁翁翁翁翁翁翁翁 翁 ，， 20%翁 翁 ， 20%翁翁翁翁翁 翁翁 ， 20% 翁 。
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The Effect of Family Firms on the Abnormal Returns of Stock Repurchases
Email [email protected]
Email [email protected]
,,
1.
1.1
Bushman, Chen,Engel, and Smith (2004)
Diamond and Verrecchia1991
(La Porta et al. 1999)
1.2
()()
2.
2.1
:Jensen(1986)(Excess Capital Returns)Stephens &Weisbach(1998) Bagwell & Shoven(1988)Dittmar(2000) ()
(2007)TEJLa Porta(1999)20%20%20%20%
(La Porta et al. 19992000)Ginglinger and Lher(2006)(2010)
H1:
2.2
Vermaelem (1981) (2006)
Davidson(1996)
: H2: ,
2.3
Healy and Palepu(2001)
(Enron)2003
Amihud and Mendelson1986Diamond and Verrecchia1991Ali(2009)(2009) 20052007
:
H3-1:
H3-2:
H3-3:
3.
()3.1
()
() ()
() ()
3-1
(Information or Signaling Hypothesis)
3.2
3.2.1
20052012:
1.()()
2.
3.
3.2.2
1.
2.
3.
3.2.3
1.
()0(t=0)t=-1t=+1
2.
Wilson, William R., and Robert A. Peterson(1989)Peterson100300120
3.
(0,+10)
:-120-1010-120+103-2
t= -1
(t=0)
-120 +10
3-2
3.3
( Event Study Methodology )()
3.3.1(CAR)
Brenner1979Risk-Adjusted Return Model Market Model (OLS) i i i iR i ,tR i,tARi,t
(Rit)(R it)(ARit)
Rit =i + i Rmt +it (3.1)
R it = i + i Rmt (3.2)
ARit= Rit- R it (3.3)
Rit i t
Rmt m t
R it : m t
ARit:
i,i i
it i t
i,t N(0, 2 )
(t1 ,t2)CAR(t1,t2)
(t1,t2)CAR (t1,t2 )Cumulative Abnormal Returnt1t2ARit ,(CAR(t1,t2)) Cumulative Abnormal Average Return
3.3.2
3-1
CAR
FF-NON
20%
ANN-BUY
LEVEL
DLEVEL
ULEVEL
SIZE
log
BTMV
/
FCF
FG
OWN
LR
/
EPS
/
3.3.3
()(FF-NON)(CAR)(SIZE)(BTMV)(FCF)(FG)(OWN)(LR)(EPS)
CARit=0+1FF-NON+2SIZE+3BTMV+4FCF+5FG+6OWN+7LR+8EPS+ (3.4)
()(FF-NON)(ANN-BUY)FF-NON*ANN-BUY(CAR)(SIZE)(BTMV)(FCF)(FG)(OWN)(LR)(EPS)FF-NON*BUY
CARit=0+1FF-NON+2ANN-BUY+3FF-NON*BUY+4SIZE+5BTMV+ 6FCF+7FG+8OWN
+9LR+10EPS+ (3.5)
()(FF-NON)(LEVEL)FF-NON*LEVEL(CAR)(SIZE)(BTMV)(FCF)(FG)(OWN)(LR)(EPS)(LEVEL)FF-NON*LEVEL
CARit=0+1FF-NON+2LEVEL+3FF-NON*LEVEL+4SIZE+5BTMV+ 6FCF+7FG+8OWN
+9LR+10EPS+ (3.6)
()(FF-NON)(ULEVEL)(DLEVEL)FF-NON* ULEVELFF-NON* DLEVEL(CAR)(SIZE)(BTMV)(FCF)(FG)(OWN)(LR)(EPS)()()FF-NON*ULEVELFF-NON*DLEVEL
CARit=0+1FF-NON+2ULEVEL+3FF-NON*ULEVEL+4SIZE+5BTMV+6FCF+7FG+8OWN
+9LR+10EPS+ (3.7)
CARit=0+1FF-NON+2DLEVEL+3FF-NON*DLEVEL+4SIZE+5BTMV+6FCF+7FG+8OWN
+9LR+10EPS+ (3.8)
4.
TEJ1.2.()3.
4.1
4.1.1
2003201220052012340958
4-1-12126182.713(2.719)4.122176164(471/176)2.767(487/164)2.97051.76(176/340)49.16(471/958)48.24(164/340)50.84(487/958)
4-1-1
()
212
95
117
2.713
618
247
371
19
11
8
1.76
53
22
31
17
14
3
4.122
50
46
4
11
6
5
2.826
33
21
12
11
10
1
2.83
20
19
1
9
5
4
2.658
26
17
9
6
4
2
2.875
15
11
4
17
10
7
2.869
45
28
17
8
4
4
3.015
19
13
6
4
2
2
3.552
18
14
4
7
4
3
1.904
20
5
15
4
2
2
1.532
16
14
2
4
2
2
1.949
8
4
4
0
0
0
0
0
0
0
4
1
3
2.233
9
3
6
3
2
1
1.945
3
2
1
2
2
0
1.904
3
3
0
0
0
0
0
0
0
0
2
2
0
2.852
2
2
0
340()
176()
164()
2.719()
958()
471()
487()
:
4.1.2
4-2958471487(CAR)-1.0874(SIZE)-0.1689(OWN) 10.1
4-1-2 CAR(N=958)
b
a(N=471)
(N=487)
c
CAR
4.2079
6.8612
-23.6812
45.9805
5.2953
6.1052
-20.0337
31.3391
-1.0874
ANN-BUY
2.7157
1.8252
0.06
10
2.7220
1.8321
0
10
-0.0063
LEVEL
0.6497
0.4776
0
1
0.6674
0.4716
0
1
-0.0177
ULEVEL
0.3907
0.4884
0
1
0.3655
0.4821
0
1
0.0252
DLEVEL
0.2208
0.4152
0
1
0.2053
0.4044
0
1
0.0155
SIZE
6.7679
0.5349
5.6527
8.7678
6.9369
0.6208
5.6096
9.2144
-0.1689
BTMV
1.0159
0.5569
0.1014
3.7043
0.9776
0.6171
0.0116
5.4571
0.0383
FCF
0.0090
0.1081
-0.6313
0.6626
0.0205
0.1107
-0.3301
0.9271
-0.0115
FG
10.5298
28.1265
-96.0700
171.2700
16.7407
39.8380
-63.6800
334.4400
-6.2109
OWN
22.8969
12.4529
2.4200
67.9800
12.7969
6.4510
2.9900
36.6300
10.1000
LR
0.7657
2.0736
-10.4472
12.6744
1.7261
4.9980
-12.1527
49.5897
-0.9604
EPS
1.4990
2.3365
-3.2800
33.2600
2.1340
5.0842
-3.4800
50.4800
-0.6349
: a20%
bCAR(0,+10)(ANN-BUY)/
c:*10%
**5%***1%
4.1.3
4-3(CAR):(FF-NON)-0.08365(ANN-BUY)0.303110.1854110
4-1-3
CAR
FF-NON
ANN-BUY
LEVEL
ULEVEL
DLEVEL
CAR
4.2079
6.8612
1
0.0836**
0.3031***
0.1854***
0.1384***
-0.1929***
FF-NON
0.4916
0.5002
1
-0.0017
-0.0186
0.0259
-0.0189
ANN-BUY
2.7157
1.8252
1
0.0998***
0.0154
-0.1098***
LEVEL
0.6497
0.4776
1
0.0389
0.0679**
ULEVEL
0.3907
0.4884
1
-0.2949***
DLEVEL
0.2208
0.4152
1
*10%**5%***1%
4.2
(0,+10)4-2-1(0,+10)(4.2079)(5.2953)
4-2-1 (0,+10)
(N=471)
(N=487)
AR()
p
CAR()
p
AR()
p
CAR()
p
0
-0.1760
0.0394
-0.1760
0.0394
0
0.0419
0.6159
0.0419
0.6159
1
2.0651
0
1.8890
0
1
2.1468
0
2.1887
0
2
0.6700
0
2.5590
0
2
0.5791
0
2.7678
0
3
0.3719
0
2.9310
0
3
0.4409
0
3.2087
0
4
0.2650
0.0019
3.1960
0
4
0.4157
0
3.6244
0
5
0.2855
0.0008
3.4815
0
5
0.3476
0
3.9719
0
6
0.1078
0.2071
3.5893
0
6
0.4059
0
4.3778
0
7
0.1870
0.0286
3.7764
0
7
0.2822
0.0007
4.6599
0
8
0.2391
0.0052
4.0155
0
8
0.2632
0.0016
4.9232
0
9
0.0280
0.7434
4.0434
0
9
0.2174
0.0092
5.1405
0
10
0.1644
0.0544
4.2079
0
10
0.1548
0.0637
5.2953
0
TEJ
4.2.1
4-54.20795.2953-1.0874p=0.0101t-2.588 < 0H1
4-2-2 (N=958)
Panel.
(FF)
(NON-FF)
Difference test
Mean CAR= 4.2079
Mean CAR= 5.2953
-1.0874
(-2.588)**
:CAR(0,+10)t
*10%**5%***1%
4.2.2
4.52491(t=7.0077)1.98651(t=3.5101)AR(4.5249)AR(1.9865),H2: ,
4-2-3
Panel.
ANN-BUY(high)
ANN-BUY(low)
Difference test
(FF)
Mean CAR= 6.8690N=194
Mean CAR= 2.3441N=277
4.5249
(7.0077)***
(NON-FF)
Mean CAR= 6.5435N=181
Mean CAR= 4.5570N=306
1.9865
(3.5101)***
:CAR(0,+10)t
*10%**5%***1%
4.2.3()
H3-1: Ali(2009)
4-2-4 Panel A3.35791(t=5.3973)1.71671(t=3.0732)AR(3.3579)AR(1.7167),H3-1:
4-2-4 Panel B 2.3434 1(t=3.6639) 1.4326 5(t=2.5071)AR(2.3434)AR(1.4326),H3-2:
4-2-4 Panel C-4.1189 1(t=-4.6361)-1.94091(t=-2.8546)AR(-4.1189)AR(-1.9409)
H3-3:
4-2-4 (CAR)
Panel A.
LEVEL(high)
LEVEL(low)
Difference test
(FF)
Mean CAR= 5.3767N=306
Mean CAR= 2.0404N=165
3.3579
(5.3973)***
(NON-FF)
Mean CAR= 5.8664N=325
Mean CAR= 4.1497N=162
1.7167
(3.0732)***
Panel B.
ULEVEL(high)
ULEVEL(low)
Difference test
(FF)
Mean CAR= 5.6358N=184
Mean CAR= 3.2924N=287
2.3434
(3.6639)***
(NON-FF)
Mean CAR= 6.2043N=178
Mean CAR= 4.7717N=309
1.4326
(2.5071)**
Panel C.
DLEVEL(high)
DLEVEL(low)
Difference test
(FF)
Mean CAR= 0.9985N=104
Mean CAR= 5.1174N=367
-4.1189
(-4.6361)***
(NON-FF)
Mean CAR= 3.7530N=100
Mean CAR= 5.6939N=387
-1.9409
(-2.8546)***
:CAR(0,+10)t
*10%**5%***1%
4.3
(CAR)()4-3
4.3.1
(2007)La Porta (1999) (1)(0)3.7H1:(OLS) ()(FF-NON))(CAR)(SIZE)(BTMV)(FCF)(FG)(OWN)(LR)(EPS)
4-3 958VIF(Variance Inflation Factor)
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