股票回購：對(duì)自由現(xiàn)金流量假說的進(jìn)一步檢驗(yàn)【外文翻譯】-其他專業(yè)(編輯修改稿)
2025-02-24 02:44 本頁面
【文章內(nèi)容簡(jiǎn)介】 ctations in an efficient market, no positive announcement effect is predicted under the free cash flow (overinvestment) hypothesis. However, the observed positive announcement effect can be explained by an inherent sample selection bias. This selection bias arises from the fact that not all firms who should repurchase their stock do so. Specifically, firms characterized by events (B) or (C) above which should contract, but elect not to, would be characterized by a negative announcement effect (since they overinvest ). If all firms exposed to events (B) and (C) were included in the sample, then a zero announcement effect should be observed under rational expectations. While no clearcut predictions regarding the daily excess returns of each group on the announcement of the repurchase can be made, the relative size of the residuals for each group can be analyzed. If the market expects bad investments and a lower future cash flow for firms in group 1, the repurchase should send a positive signal to the market that unprofitable investments have been eliminated (or reduced). The size of the effect depends on the extent to which the firms in this group reduce the overinvestment problem. For group 3, the size of the residuals depends on the extent to which the market knows that these firms possess free cash flow. If the market does not know that a free cash flow problem exists, then the stock repurchase may in fact send a negative signal to the market that there is a free cash flow problem. The announcement effect should be negative. If, however, the market knows a free cash flow problem exists, the share repurchase should send a positive signal and the size of the residuals will depend on the extent to which the market believes these firms are reducing or eliminating their free cash flow problem. Since group 2 may represent firms consistent with all three cases, the announcement effect depends on the relative size of each group. If the dominant explanation for firms in the group is the signaling theory, however, then the announcement effect should be positive. Since in this article we concentrate on analyzing the possible sources of a repurchasing firm39。s free cash flow, let us analyze the relationship between the occurrence of either a favorable or unfavorable event, or a firm39。s investment opportunities and free cash flow. The following possibilities exist for groups 1 and 3: First, an unfavorable event is observed (., a decline in earnings). Are the firms in this group (group 1) necessarily facing bad investment opportunities? While this is likely, it is not necessarily the case. To answer this question, the source of the unfavorable news must be identified. If it is due to a realized cash flow below the expected cash flow with no (or a rightward) shift in the firm39。s future IRR curve, then this firm, in order to finance its future investments, will need to raise additional funds either by cutting its dividends, issuing more stock or incurring more debt. Another possibility is that the unfavorable event may not be due to a low random cash flow, but rather a leftward shift in the firm39。s present and future IRR curve. In this case, the firm needs less money for capital expenditures, and may even have extra cash flow which it can use to repurchase its stock. Since the sample analyzed includes only firms which repurchase their stock, it is likely that firms in group 1 face bad investment opportunities. Second, a favorable event is observed (., an increase in earnings).
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