股票回購對自由現(xiàn)金流量假說的進一步檢驗【外文翻譯】

1、<p>　　本科畢業(yè)論文（設(shè)計）</p><p>　　外 文 翻 譯</p><p><b>　　原文：</b></p><p>　　Stock Repurchases: A Further Test of the Free Cash Flow Hypothesis</p><p>　　The free

2、cash flow (overinvestment) hypothesis has been investigated by Lang and Litzenberger (1989) and recently by Howe, He and Kao (1992). Using Tobin's Q as a measure of the intensity of overinvestment, Lang and Litzenber

3、ger find evidence supporting the free cash flow theory in relation to cash dividends. Their empirical results are consistent with the hypothesis that dividend changes by overinvesting firms inform stockholders of the fir

4、m's investment policy rather than signaling positive as</p><p>　　Since cash dividends, SDD, and repurchases represent alternative cash disbursement methods, the conflicting results of Lang and Litzenberg

5、er and Howe, He and Kao present an empirical puzzle. To shed light on this puzzle, we partition our sample of firms repurchasing their stock via a self-tender offer into three groups based on the source of the firms'

6、 free cash flows. Evidence consistent with the free cash flow hypothesis is found.</p><p>　　The article is structured as follows: section 2 describes the methodology for determining the source of the free ca

7、sh flow (overinvestment) problem and competing explanations. Section 3 describes the data. The empirical results are given in section 4. Concluding remarks are presented in section 5. An alternative test of the signaling

8、 theory is presented in the appendix.</p><p>　　To clarify the implications of the free cash flow (overinvestment) and signaling theories, denote the value of the firm by V and the invested capital by K. Val

9、ue maximinization occurs whenever dV/dK = 1. Overinvesting implies that dV/dK < 1. Suppose that a firm ranks its investment projects in terms of profitability, for example, by the expected internal rate of return

10、(IRR). Then dV/dK = 1 implies that at the margin p = R, where p is the firm's cost of capital and R is the expected interna</p><p>　　Simplicity and without loss of generality, assume a one-period model w

11、here the firm invests at and at the firm reinvests and distributes dividends. Consider the following three scenarios:</p><p>　　At time t (where< t <), the agent possesses positive asymmetric informat

12、ion regarding the firm's future profitability. This asymmetric information can either be regarding the performance of existing capital or new projects which are executed at. The manager signals this positive unknown

13、information to stockholders by repurchasing some of the firm's stock (signaling theory).</p><p>　　During the period< t <and prior to the stock repurchase, the expected profitability of the firm'

14、;s projects decreases. Namely, the expected IRR curve shifts to the left, where the IRR curve is defined as a demand function for projects ranked by their expected internal rate of return. In this case, the firm decides

15、to contract by reducing its capital expenditures at, and uses the cash flow to repurchase its stock (free cash flow theory).</p><p>　　There is no change in the firm's IRR curve prior to the repurchase an

16、nouncement date, but the actual return on its investments executed in the past exceeds the expected return. (This is simply like drawing one observation at random from a given distribution and the observed value exceeds

17、the mean). In this case the firm accumulates free cash flow and repurchases some of its stock (free cash flow theory)</p><p>　　In case (A), no significant average risk-adjusted excess returns prior to the re

18、purchase announcement date are expected, but one would expect positive excess returns on the announcement date. Both (B) and (C) may induce free cash flow 4 and hence initiate a stock repurchase, but they are diametrical

19、ly different events. In case (B) an "unfavorable" event occurs, while in case (C) a "favorable" event occurs. Thus, while the motive for a stock repurchase under (A) is to signal positive asymmetric i

20、</p><p>　　If firms announcing a self-tender offer can be analyzed in relation to scenarios (A), (B),and (C) above, insight might be gained into the current empirical puzzle. Of course, measuring whether a fa

21、vorable or an unfavorable event occurs prior to the stock repurchase may be difficult; however, the events should be reflected in the long-run financial data of the firm. In this study, we divide the sample into three gr

22、oups based on a time series analysis of the financial data of each firm correspondi</p><p>　　To analyze each firm in relation to the three cases above, the following financial series are examined: capital ex

23、penditures; net sales; net operating income; and earnings per share. A monotonic increase in all four series is identified as a favorable event (Case (C)). If all monotonically decrease, it is identified as an unfavorabl

24、e event (Case(B)). However, since such ideal scenarios exist in only a few cases, the sample is partitioned into three groups as follows:</p><p>　　Group 1.If at least one of the financial series decreases mo

25、notonically and in addition there is no systematic increase in any of the remaining series, then the firm is classified into group 1. Group 1 is characteristic of firms experiencing unfavorable events in the past.</p&

26、gt;<p>　　Group 2.If the financial series of a firm fluctuates over time, or if one series monotonically decreases and at least one series monotonically increases, then the firm is relegated to group 2. Group 2 con

27、sists of firms experiencing mixed events.</p><p>　　Group 3.Finally, if one of the financial series increases monotonically and no monotonic decrease in any of the other series occurs, the firm is classified

28、into group 3.Group 3 consists of firms where favorable events occurred in the past.</p><p>　　Like Howe, He and Kao (1992), we examine the average daily risk-adjusted residuals during the two day (-1, 0) anno

29、uncement period. The systematic risk of each firm () is estimated from the market model using the daily returns sixty days prior to the event period. Interestingly, under rational expectations in an efficient market, no

30、positive announcement effect is predicted under the free cash flow (overinvestment) hypothesis. However, the observed positive announcement effect can be explained by</p><p>　　While no clear-cut predictions

31、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 fut

32、ure 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 fi

33、rms in this group reduce the </p><p>　　Since in this article we concentrate on analyzing the possible sources of a repurchasing firm's free cash flow, let us analyze the relationship between the occurren

34、ce of either a favorable or unfavorable event, or a firm's investment opportunities and free cash flow. The following possibilities exist for groups 1 and 3:</p><p>　　First, an unfavorable event is obser

35、ved (e.g., 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 u

36、nfavorable 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 firm's future IRR curve, then this firm, in order to finance its future inve

37、stments, will need to raise </p><p>　　Another possibility is that the unfavorable event may not be due to a low random cash flow, but rather a leftward shift in the firm's present and future IRR curve. I

38、n 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

39、is likely that firms in group 1 face bad investment opportunities.</p><p>　　Second, a favorable event is observed (e.g., an increase in earnings). Are firms experiencing favorable events (group 3) characteri

40、zed by free cash flow? Not necessarily. To answer this question, again the source of the firm's cash flow must be analyzed. If the favorable event is due to a rightward shift in the firm's present and future IRR

41、curve (e.g., the profit of the firm's product increases), then it is possible that the firm does not have free cash flow since the increased cash flow is nee</p><p>　　Another alternative is that the firm

42、 experiences a high realized return with no shift in its IRR curve (e.g., the price of the firm's product increased due to a temporary shortage and then returned to its equilibrium price). In this case, the firm does

43、 not need the extra cash flow to fund future investments. Since only firms repurchasing their stock are included in the sample, it is likely that the firms in the sample experiencing a favorable event are accompanied wit

44、h free cash flow.</p><p>　　To analyze and test the effectiveness of our sample stratification into groups 1 and 3, the monthly average excess returns (ARt) and cumulative average excess returns (CARt) of eac

45、h group are analyzed for twelve months prior to the repurchase and six months thereafter. Using the market model is estimated for each firm in the twenty-four months prior to the event period. If our sample stratificati

46、on is correct, the CARs are expected to be negative for group 1 and positive for group 3. To see thi</p><p>　　Source: DEBORAH L. GUNTHORPE,1993 “Stock Repurchases: A Further Test of the Free Cash Flow Hypoth

47、esis”.Review of Quantitative Finance and Accounting.March.pp.353-365.</p><p><b>　　譯文：</b></p><p>　　股票回購：對自由現(xiàn)金流量假說的進一步檢驗</p><p>　　自由現(xiàn)金流量（過度投資）的假設(shè)由朗和萊茲伯格（1989）和最近的豪、赫和高（19

48、92）研究。利用作為測量過度投資強度的托賓Q理論， 朗和萊茲伯格發(fā)現(xiàn)支持自由現(xiàn)金流量理論和現(xiàn)金股利關(guān)系的證據(jù)。他們的實證結(jié)果與假設(shè)一致，就公司未來的盈利狀況，通過公司過度投資的投資政策，而不是通過發(fā)積極的不對稱信息改變股利。豪、赫和高（1992）在關(guān)于提出收購報價和特別設(shè)計股利（SDD）方面研究了自由現(xiàn)金流量假說，擴大了朗和萊茲伯格的研究。不同于朗和萊茲伯格，他們發(fā)現(xiàn)對高Q（價值最大化）和低Q（過度投資）公司來說，在有關(guān)股票回購和特別股

49、利設(shè)計的選擇上，公告結(jié)果沒有區(qū)別。</p><p>　　由于現(xiàn)金股利，特別設(shè)計股利和回購代表現(xiàn)金支出方式的選擇，朗和萊茲伯格與豪、赫和高沖突的結(jié)果，赫和高提出了一個經(jīng)驗難題。為了闡明這一難題，我們基于公司自由現(xiàn)金流量的來源，通過自招標報價回購公司股票將公司樣本分成三個小組。證據(jù)與建立的自由現(xiàn)金流量假說是一致的。</p><p>　　本文結(jié)構(gòu)如下：第二部分描述了解釋決定自由現(xiàn)金流量（過度投資

50、）問題和競爭來源的方法。第三部分描述數(shù)據(jù)。第四部分將給出觀察的結(jié)果。結(jié)束語在第五部分。</p><p>　　為了澄清自由現(xiàn)金流量（過度投資）和信號理論的影響，表示了V公司和K的投資資本。當dV/dK=1時，價值發(fā)生在一定的大小范圍內(nèi)。過度投資意味著dV/dK < 1。假設(shè)一個公司盈利能力方面超過其投資項目，例如，預(yù)期的投資回報率（IRR）。dV/dK = 1意味著，在邊際p值=R，其中p是該公司的資本成本，

51、R是預(yù)期的內(nèi)部收益率。這種平衡規(guī)定公司有多少可用的資源保證再投資，有多少可用分給股東。自由現(xiàn)金流量妨礙了這種平衡。</p><p>　　為了簡單而不失一般性，假設(shè)一個周期模式，該公司在時刻投資和公司在時刻再投資和分配股利。考慮以下三種情況：</p><p>　　A.在t時刻（<t<），就公司未來的盈利能力而言，信息不對稱對代理具有積極的意義。這種信息不對稱可以是關(guān)于現(xiàn)有資本的表

52、現(xiàn)或者在時刻新項目的執(zhí)行中的任何一個。這些經(jīng)理向股東發(fā)出積極未知的信號，并向這些股東回購一些公司的股票（信號理論）。</p><p>　　B．在時刻和之間和回購股票之前，公司項目的預(yù)期盈利能力減少。也就是說，預(yù)期內(nèi)部收益率曲線向左移動，內(nèi)部收益率曲線定義為必須使項目的內(nèi)部收益率高于他們期望的內(nèi)部收益率。在這種情況下，在時刻公司決定減少他們的資本支出，用現(xiàn)金流量回購他們的股票（自由現(xiàn)金流量理論）。</p>

53、;<p>　　C.在公司的內(nèi)部收益率曲線之前到回購公告日沒有變化，但是在過去執(zhí)行的投資的實際回報超過了預(yù)期的回報（這僅僅像從一個給的分布中隨機觀察而觀測值超過了平均水平）。在這種情況下，公司積累自由現(xiàn)金流量來回購股票。（自由現(xiàn)金流量假說）</p><p>　　在情況A中，在股票回購宣告日之前，人們不不期望存在不顯著的平均額外風險；而在宣告日時，人們還是期望得到真實回報的。情況B和情況C可能引起自由現(xiàn)

54、金流量，于是發(fā)起股票回購，但是他們是截然不同的兩件事。在情況B中試一個“不利”事件，然而在情況C中卻是一個“有利”事件。因此 ，雖然在情況A中，股票回購的動機是一個關(guān)于公司有效項目信息不對稱的信號，但是在情況B和情況C中，股票回購的動機卻是改變公司投資政策的信號。</p><p>　　如果公司宣布自己的投標報價可以分析以上方案（A）、（B）和（C），洞察可能獲得到當前經(jīng)驗的難題。當然，衡量先前發(fā)生的股票回購是否有

55、利可能是困難的；然而事件應(yīng)該反映在公司的長期的財務(wù)數(shù)據(jù)中。在這項研究中，我們根據(jù)一項關(guān)于各公司對應(yīng)的前三年的回購公告之日和公告的季度之前的那個季度的財務(wù)數(shù)據(jù)將樣本公司分成三個組。選擇這一時期以來，雖然企業(yè)可以在短期內(nèi)裝飾它的財務(wù)數(shù)據(jù)，但是它能夠隱瞞三年以上幾個時期的財務(wù)數(shù)據(jù)是困難的。</p><p>　　為了分析每家公司與以上三個案例的關(guān)系，需要進行以下財務(wù)方面的檢驗：資本支出；凈銷售額；凈營業(yè)收入和每股盈利。在

56、所有四個系列單調(diào)增加被確定為一個有利的事件（案例（C））。如果所有的單調(diào)下降，這被確定為不利事件（案例（B））。然而，由于這種理想的情況只在少數(shù)案例中存在，樣本被分為以下三組：</p><p>　　第一組：如果至少有一個財務(wù)系列單調(diào)減少，另外在剩下的任何系列中沒有系統(tǒng)地增加，那么該企業(yè)被分到第一組。第一組是典型的在過去經(jīng)歷不利事件的公司。</p><p>　　第二組：如果一個公司的財務(wù)系列

57、隨著時間波動，或者如果一個系列單調(diào)地減少，至少一個系列單調(diào)增加，那么該企業(yè)被分到第二組。的第二組包括混合經(jīng)歷了有利和不利體驗的公司。</p><p>　　第三組：最后，如果一個財務(wù)系列單調(diào)增加，沒有其他任何系列單調(diào)減少發(fā)生，那么該企業(yè)被分到第三組。第三組包括在過去發(fā)生有利事件的公司。</p><p>　　就像豪、赫和高（1992）一樣，我們檢驗在公告期間那兩天（-1.0）平均每日風險調(diào)整殘

58、值。每個企業(yè)（）的系統(tǒng)性風險從使用每日收益之前的六十天期間的市場模型估計。有趣的是，在一個有效市場下的理性預(yù)期，在自由現(xiàn)金流量（過度投資）假說。然而，觀察到的積極的公告效應(yīng)可以解釋內(nèi)在樣本偏倚。這種選擇出現(xiàn)偏差的事實說明并非所有的公司都可以這樣回購他們的股票。具體來說，企業(yè)具有以上事件B或C具有的特征，應(yīng)該簽訂合同，如果選擇不這么做，企業(yè)將具有消極的宣告結(jié)果的特點（因為他們過度投資）。如果樣本中所有的公司都揭露事件B或C，那么在理性預(yù)期

59、下將觀察到零宣告效應(yīng)。</p><p>　　雖然關(guān)于每一組回購公告每日可以產(chǎn)生的超額回報沒有明確的預(yù)測，但對于每組殘差的相對尺度可以進行分析。如果在第一組中有市場預(yù)期不好的投資降低企業(yè)未來現(xiàn)金流量，回購將向市場傳遞積極信號消除或減少投資的不利影響。該效果的大小取決于在這組中企業(yè)減少投資過剩的問題的范圍。對于第三組，殘差的范圍取決于市場了解的這些企業(yè)占據(jù)的自由現(xiàn)金流量的范圍。如果市場不知道自由現(xiàn)金流量存在的問題，那

60、么股票回購事實上將向市場傳遞有自由現(xiàn)金流量問題的消極信號。這一消息的影響應(yīng)該是負面的。但是，如果市場知道自由現(xiàn)金流量問題的存在，股票回購將傳遞一個積極信號，殘差的范圍將取決于市場認為這些公司減少或者消除他們自由現(xiàn)金流量問題的程度。由于第二組可能描繪了符合所有三種情況的公司，公告的效果取決于每組的相對尺度。如果在企業(yè)中占主導(dǎo)地位的解釋是信號理論，那么公告效應(yīng)將是積極的。</p><p>　　由于本文中，我們集中分析

61、了回購公司自由現(xiàn)金流量的可能來源，讓我們分析一個事件有利或不利影響之間的關(guān)系，和公司投資機會和自由現(xiàn)金流量的關(guān)系。可能存在以下1至3的可能性：</p><p>　　首先，發(fā)現(xiàn)不利事件（例如，收入下降）。在這個組（第一組）的公司是不是必然面對不好的投資機會？雖然這是可能的，但并不是一定如此。要回答這個問題，必須查明不利消息的來源。如果由于識別現(xiàn)金流量 在公司未來內(nèi)部收益率曲線沒有（或向右）移動的期望現(xiàn)金流量以下，當

62、時這家公司為了支持未來的投資，必須增加投資或削減股利， 發(fā)行更多的股票或者產(chǎn)生更多的債務(wù)。</p><p>　　另一種可能是，不利事件可能不是由于低隨機現(xiàn)金流量，而是由于公司現(xiàn)在和未來的內(nèi)部收益曲線左移。在這種情況下，企業(yè)需要較少的資本支出的錢，甚至可能有額外的，可以用于回購股票的現(xiàn)金流量。由于這些樣本分析僅僅包括回購股票，這很可能是在第一組面臨糟糕投資機會的公司。</p><p>　　其

63、次，觀察有利事件（例如，收入增加）。一些企業(yè)是不是經(jīng)歷了以自由現(xiàn)金流量為特征的有利事件？不一定。要回答這個問題，必須分析公司現(xiàn)金流量來源。如果有利事件是由于該公司現(xiàn)在和未來的內(nèi)部收益曲線向右移動（例如，該公司的產(chǎn)品利潤增加），那么很可能該公司沒有自由現(xiàn)金流量，因為增加的現(xiàn)金流量需要為未來擴張?zhí)峁┵Y金。在這種情況下，預(yù)計不會回購股票，而實際上，一個新的股票或者債券的發(fā)行可能是必需的。</p><p>　　另一種選擇

64、是，公司經(jīng)歷了一個內(nèi)部回報率曲線沒有移動的高回報的時期（例如，由于公司產(chǎn)品暫時短缺導(dǎo)致價格上升，然后返回它的均衡價格）。在這種情況下，該公司并不需要額外的現(xiàn)金流量為未來投資籌集資金。由于公司回購其股票僅在樣本內(nèi)，樣本公司很可能經(jīng)歷了一個伴隨著自由現(xiàn)金流量的有利事件。</p><p>　　為了分析和檢驗被我們分成第一和第三組樣本，每組樣本前十二個月的回購以及此后六個月每月平均超額收益（ART）和每月累積平均超額收益

65、（CARt）的有效性。利用市場模式,是估計每個公司前二十四個月的大事。如果我們的樣本分層是正確的，預(yù)期累積平均超額收益將是負面的第一組和正面的第三組?？吹竭@一點，請注意，有利和不利事件可能與累積平均超額收益（或者股票價格）的相聯(lián)系的是如下一個所有未來現(xiàn)金流量的函數(shù)：如果在公告日前現(xiàn)金流量減少，這可能（但并不一定）累積平均超額收益帶來的負面影響。例如，在公告前收入的減少是伴隨著未來現(xiàn)金流量的積極信息。在這種情況下，在t=0 的時刻可能觀察

66、到積極的累積平均超額收益盡管以前發(fā)生了不利的事件。然而，我們有理由假設(shè)，要么不存在關(guān)于未來現(xiàn)金流量的異常信息，要么積極的和消極的信息的分布與所有企業(yè)是一致的。因此，有理由假設(shè)有利事件是伴隨著正的累積平均超額收益，不利事件伴隨著負累積平均超額收益（事實上，我們?nèi)〉昧饲笆€月公布的累積平均超額收益第一組為-17.3%，第三組為19.2%）。沒有明確的評估可為第二組（公司遇到的回合事件）或合并后的樣本，因為累積平均超額收益將取決于各<