上海证券交易所课题研究报告

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2 2 2.1 (Share repurchase) ( ) (Treasury stock) ( ) ( ) ( ) ( ) 2

3 / (Vermaelen,Theo,1981) ( ) (1), (2) (Pure Competition) (3) (4) (5) (6) (7) PO PT PE NO NE 3

4 W FP=(NO-NE)/NO 1- FP=NE/NO 1 (1.1) PE*NE=PO*NO-PT(NO-NE)+W (1.1) = + NO (1.1) PE*NE/NO=PO-[PT(NO-NE)/NO]+W/NO (1.2) PE(1-FP)=PO-PT*FP+W/NO (1.2) PO (1.2) 2 (1.3) W/(NO*PO)=FP(PT-PO)/PO+(1-FP)(PE-PO)/PO (1.3) (1.3) = * + * A B H 3 (1981 ) % 85% 22% PE PO X (1.4) 15%=15%*22%+85%*X (1.4) 13.76% (1.4.1), 15% 3.3% 11.7% 15%=15%*22%+85%*13.76% 15%=3.3%+11.7% (1.4.1) (1981 ) % 15% 85% 23% (1.5) 4

5 16%=15%*23%+85%*X X=14.76% 16%=15%*23%+85%*14.76% (1.5) 14.76% 1 (1.5.1) 16% 3.45% 12.55% 16%=3.45%+12.55% (1.5.1) (1980) (Wakeman1983) (1983) (1984) 22%-23% 13%-15% 3%-4% 11%-13% (1) (2) (3) (4) (5) (6) % (1981) (1981) (1978) 5

6 13%-15% (1981) % (1981) 5 (1981) 5.6% 11.6% 13.5% % 26.4% 14% % 17.2% / / / ( ) (1977) 6

7 (1981) % 50% % (1980) (1981) 60% (1980) 50% 27% 50% 23% % (1981) 3 (1981)

8 (1981) (1981) 4 (1984) % 5 13%15% 6 (1981) ( ) 8

9 ( 1985) ( 1988) (1988) ( 10 ) 2 (1983) % 16.4% (1983) % % (1983) 9

10 (1983) % % (1983) ( ) (1985) (1988) (1985) D 12 (1985) 6 6 (1986) 3 (39 ) (72 ) 28% (1986) 4 (1986) (1988) (1986) ( 1986) 10

6.... 1977 1982 6 6 155 13D 12 (1985) 6 6

11 (1986) (1986) 3 (1988) ( ) -0.86% % (1988) % (1988). (1983). (1983) (1988) 11

12 (1988) (1987) (1988) (1) (2) 12

13 ( ) (3) (1) (2) 13

14 ( )(3) (4) 2 (1) (2) 80 (3) (1) (2) (3) 4 14

15 (1) ;(2) ;(3) ;(4) << >> A B 15

16 5.1 A B A 50% % 75% % ( ) 98 2 A B 16

17 ,, % 4 15% 75% 2. 50% 3. 30%--50% 4. 30% 20% 15% 4.6% 10.4% 16% 12% 3.2% 8.8% 15%--20% 10% 17

18 10% NT=a*S1/S2, a S1 S2 V + Dt = NT t== 1 (1 + r) r V D r R P0 P1 N1 N2 R=P0/E/N1=P1/E/N2 P1=P0/1-b 1-b P0 P

19 % 10%--11% 3.5% 19

20 ,,

21 , ,,,,, B ( ) ,,,,,, 21

22 ( ) 10, ( ) , 9.95, ( ) , ,,,,,, : ( ) , , % 4.61% 60.76% ( )

24 ,,,

25 ,,,,,,

29 A. B. C B

30 com 2., 30

31 3. (Treasury Stock) Cisco 4. (Exercise Price) 50% Incentive Stock Option ( Stock Appreciation Rights) 50% % 85% 31

32 80% 5. A. B. C. 8 1 << >>149 << >>41 << >>24 (1) (2) << >> 32

33 ( ) 2 << >>24 25 << >> << >> << >>25 (1) ;(2) ;(3) 4. << >> << >>170 (1) ;(2) ;(3) ;(4) ;(5) ;(6) 5 << >>11 33

34 50 ( 50%) << >> ]

35 BRADLEY MICHAEL and LEE M.WAKEMAN The Wealth Effects of Targeted Share Repurchases,Journal of Financial Economics,11,1983,pp BRICKLEYJAMESShareholder Wealth, Information Signaling and the Specially Designated Dividend: An Empirical Study, Journal of Financial Economics,12,1983,pp DANNLARRYCommon Stock RepurchasesAn Analysis of Returns to Bondholders and Stockholders,Journal of Financial Economics,9,1981,pp FELDSTEIN MARTIN and JERRY GREEN Why Do Companies Pay Dividends American Economic Review,73,March 1983,pp FINNERTY JOHN D. Stock-for-Debt Swaps and Shareholders Returns,Financial Management,14,Autumn 1985,pp MASULISRONALD W.Stock Repurchase by Tender OfferAn Analysis 35

36 of the Causes of Common Stock Price Changes,Journal of Finance,35,1980,pp MASULIS RONALD W.The Impact of Capital Structure Change on Firm ValueSome EstimatesJournal of Finance,38,March 1983,pp McCONNELLJOHN J.GARY G.SCHLARBAUMEvidence on the Impact of Exchange Offers on Security Prices: The Case of Income Bonds,Journal of Business,54,1981,pp MIKKELSON W.H. Convertible Security Calls and Security ReturnsJournal of Financial Economics,9,1981,pp MILLER MERTON H. Debt and Taxes,Journal of Finance,32,1977,pp MYRON S.SCHOLES Dividends and Taxes Journal of Financial Economics,6 December 1978,pp MODIGLIANIFRANCOand MERTON H.MILLERThe Cost of Capital, Corporation Finance Review,48,June 1958,pp and the Theory of Investment,American Economic 13 Corporate Income Taxes and the Cost of Capital, American Economic Review,June 1963,pp PEAVYJ.W., and J.A.SCOTTA Closer Look at Stock-for-Debt Swaps Financial Analysts Journal, May/June 1985,pp PINEGAR J.MICHAEL and RONALD C.LEASE The Impact of Preferred-for-Common Exchange Finance,41,September 1986,pp Offers on Firm Value,Journal of 16VERMAELENTHEOCommon Stock Repurchases and Market Signaling: An Empirical Study, Journal of Financial Economics,9,1981,pp Repurchase Tender Offers, Signaling and Managerial Incentives,Journal of Financial and Quantitative Analysis,19,1984,pp BHAGAT S. J.A.BRICKLEYCumulative Voting: The Value of Minority Shareholder Voting RightsJournal of Law and Economics,27,October 1984,pp BHAGATS.R.H.JEFFERISYou Can Fool Some of the People All of the Time The Proxy Voting Process and Anti-greenmail Charter Amendmentsms., University of Utah, May BRADLEYM.Interfirm Tender Offers and the Market for Corporate Control,Journal of Business,53,1980,pp and L.WAKEMANThe Wealth Effects of Targeted Share 36

37 Repurchase Journal of Financial Economics,11,1983,pp BRICKLEY J.A. R.C.LEASE and C.W.SMITH JR.Ownership Structure and Voting on Anti-takeover Amendments Journal of Financial Economics,20,1988,pp DANNL.Y.and H.DEANGELOStandstill Agreements, Privately Negotiated Stock Repurchases, and the Market for Corporate Control Journal of Financial Economics, 11,1983,pp Corporate Financial Policy and Corporate Control: A Study of Defensive Adjustments in Asset and Ownership StructureJournal of Financial Economics, 20,1988,pp DEANGELOH.and E.M.RICEAnti-takeover Charter Amendments and Stockholder 1983,pp Wealth Journal of Financial Economics,11,April 26HOLDERNESSC.G.and D.P.SHEEHAN Raiders or Saviors? The Evidence on Six Controversial Investors Journal of Financial Economics,14,1985,pp JENSEN M.C.Takeovers: Their Causes and Consequences, Journal of Economic Perspectives,2,Winter 1988,pp When Unocal Won Over Mesa, Shareholders and Society Lost,Financier, 9, 1985,pp and J.B.WARNER The Distribution of Power Among Corporate Managers, Shareholders and Directors,Journal of Financial Economics,20,1988,pp KLEIN A. and J.ROSENFELD The Impact of Targeted Share Repurchases on the Wealth of Non-Participating ShareholdersJournal of Financial Research,11,Summer 1988, pp KLEINR. Leveraged Cashouts: Recapitalization with a New TwistBusiness Forum, 13,Winter 1988,pp LINNS.C.and J.J.McCONNELLAn Empirical Investigation of the Impact of Anti-takeover Amendments on Common Stock PricesJournal of Financial Economics, April 1983,pp POUNDJ.The Effects of Anti-takeover Amendments on Takeover Activity: Some Direct Evidence,Journal of Law and Economics,30,October 1987,pp Proxy Contests and the Efficiency of Shareholders Oversight, Journal of Financial Economics,20,1988,pp SHLEIFERA.and R.W.VISHNYGreenmail, White Knights, and Shareholders Interest, Rand Journal of Economics,17, Autumn 37

38 1986a,pp Large Shareholders and Corporate Control, Journal of Political Economy,94, 1986b,pp Nohel,T.and Tarhan,V.Share repurchases and firm performance :New evidence on the agency costs of free cash flow,journal of Financial Economics v49.pp Stephens,C.P. and Weisbach,M.S,Actual share reacquisitions in open-market repurchase programs,journal of Finance 1998 v6,pp John P.Evans.Robert T.Evans,James A.Gentey,The decision to repurchase share :A cash flow story 2001,Working papers 40.Scott J.Weisbenner,Corporate share repurchase in the 1990s:What role do stock options play?2001,working papers 41[]J.. []S. [].E. (MERGERS RESTRUCTURING AND CORPORATE CONTROL 1996 )

1 CAPM CAPM % % Wippern, aGebhardt Lee Swaminathan % 5.10% 4.18% 2 3 1Gebhardt Lee Swa

1 CAPM CAPM % % Wippern, aGebhardt Lee Swaminathan % 5.10% 4.18% 2 3 1Gebhardt Lee Swa Zingales 2000 Corporate finance is the study of the way firms are financed 1 2 3 1 2 3 4 1 2 1 1 1 CAPM CAPM 2001 2.42% 20002001 1.18% Wippern, 1966 2003aGebhardt Lee Swaminathan 2003 1 1998 2000 1 1998