股票回购：对自由现金流量假说的进一步检验【外文翻译】

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1、本科毕业论文（设计） 外 文 翻 译 原文 ： Stock Repurchases: A Further Test of the Free Cash Flow Hypothesis The free cash flow (overinvestment) hypothesis has been investigated by Lang and Litzenberger (1989) and recently by Howe, He and Kao (1992). Using Tobins Q as a measure of the intensity of overinvestment, Lan

2、g and Litzenberger 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 firms investment policy rather than signaling positive asymmetric in

3、formation regarding the firms future profitability. Howe, He and Kao (1992) extend the study of Lang and Litzenberger by examining the free cash flow hypothesis in relation to both tender offers repurchases and specially designed dividends (SDD). Unlike Lang and Litzenberger, however, they find that

4、 there is no differential announcement effect for high-Q (value-maximizing) and low-Q (overinvesting) firms in relation to either stock repurchases or SDD. Since cash dividends, SDD, and repurchases represent alternative cash disbursement methods, the conflicting results of Lang and Litzenberger and

5、 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 free cash flows. Evidence consistent with the free cash flow hypothesis is found. The arti

6、cle is structured as follows: section 2 describes the methodology for determining the source of the free cash 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 altern

7、ative test of the signaling theory is presented in the appendix. 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. Value maximinization occurs whenever dV/dK = 1. Overinvesting implies that dV/d

8、K 1. Suppose that a firm ranks its investment projects in terms of profitability, for example, by the expected internal rate of return (IRR). Then dV/dK = 1 implies that at the margin p = R, where p is the firms cost of capital and R is the expected internal rate of return. Such equilibrium dictates

9、 how much of the firms available resources should be maintained for reinvestment and how much should be distributed to stockholders. Free cash flows are precluded in such equilibrium. Simplicity and without loss of generality, assume a one-period model where the firm invests at t0 and at t1 the firm

10、 reinvests and distributes dividends. Consider the following three scenarios: A. At time t (wheret0 t t1 ), the agent possesses positive asymmetric information regarding the firms future profitability. This asymmetric information can either be regarding the performance of existing capital or new pro

11、jects which are executed att1 . The manager signals this positive unknown information to stockholders by repurchasing some of the firms stock (signaling theory). B. During the period t0 t t1 and prior to the stock repurchase, the expected profitability of the firms projects decreases. Namely, the ex

12、pected 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 to contract by reducing its capital expenditures att1 , and uses the cash flow to repurchase its stock (free cash flo

13、w theory). C. There is no change in the firms IRR curve prior to the repurchase announcement 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 exceed

14、s the mean). In this case the firm accumulates free cash flow and repurchases some of its stock (free cash flow theory) In case (A), no significant average risk-adjusted excess returns prior to the repurchase announcement date are expected, but one would expect positive excess returns on the announc

15、ement date. Both (B) and (C) may induce free cash flow 4 and hence initiate a stock repurchase, but they are diametrically 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 posit

16、ive asymmetric information regarding the firms available projects, the motive for a stock repurchase under(B) and (C) is to revise the firms investment policy. 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 cu

17、rrent empirical puzzle. Of course, measuring whether a favorable 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 groups based on a time se

18、ries analysis of the financial data of each firm corresponding to three years prior to the repurchase announcement date and one quarter prior to the quarter of the announcement. This period is selected since although a firm may be able to window dress its financial data in the short run, its ability

19、 to conceal the financial data of several series for three years or more is difficult. To analyze each firm in relation to the three cases above, the following financial series are examined: capital expenditures； net sales； net operating income； and earnings per share. A monotonic increase in all fo

20、ur series is identified as a favorable event (Case (C). If all monotonically decrease, it is identified as an unfavorable event (Case(B). However, since such ideal scenarios exist in only a few cases, the sample is partitioned into three groups as follows: Group 1.If at least one of the financial se

21、ries decreases monotonically 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. 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