股票回购对自由现金流量假说的进一步检验外文翻译Word文档格式.docx

股票回购对自由现金流量假说的进一步检验外文翻译Word文档格式.docx

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原文：

StockRepurchases:

AFurtherTestoftheFreeCashFlowHypothesis

1.Introduction

Empiricaltestsoffirmsrepurchasingtheirstockgenerallyconcludethattheobservedpositivestockpricereactionaroundtheannouncementofrepurchaseself-tenderoffersisconsistentwiththesignallingtheory（seeMasulis（1980）,Vermaelen（1981,1984）,Dann（1981）,Sinha（1991）,CommentandJarrell（1991）,andHowe,HeandKao（1992））.Thistheoryarguesthatcashoutflows（cashdividends,speciallydesignateddividends,orrepurchases）areusedbymanagementtodisseminatepositiveasymmetricinformationtoshareholdersaboutthefutureprofitpotentialofthefirm.Specifically,Vermaelenconcludesthatwithstockrepurchases,firmsofferapremiumfortheirownsharesinordertosignalthatthefirmisundervalued.Thissignaliscrediblesincethepremiumimposesacostonnontenderingshareholderswhichincludesmanagement（whoisgenerallyprecludedfromparticipatingintheoffer）.Ifthetenderofferpremiumisgreaterthantheextenttowhichthefirmisundervalued,thenthis"

false"

signalwillresultinareductioninthewealthofnontenderingshareholders（management）.

Analternativetheory,andtheoneinvestigatedinthisarticle,isJensen'

s（1986,1989）freecashflow（overinvestment）hypothesis.Jensenpointsoutthatafirmaccumulatingfreecashflowcaneitherincreaseitscashdividends,repurchasesomeofitsstock,oroverinvest.Hearguesthatfirmswithsubstantialfreecashflowtendtooverinvestandundertakeprojectswithnegativenetpresentvalues.Furthermore,whenafirmwithfreecashflowincreasesitscashdividends,itsvalueisexpectedtoincreasesincefewernegativenetpresentvalueprojectsarenowtaken.Ofcourse,Jensen'

sargumentassumesthatmanagersarenotmaximizingfirmvalue.Ifacompensationschemecanbedevisedwhichensuresthatvaluewillbemaximized,thenfreecashflowwillnotexist.

Thefreecashflow（overinvestment）hypothesishasbeeninvestigatedbyLangandLitzenberger（1989）andrecentlybyHowe,HeandKao（1992）.UsingTobin'

sQasameasureoftheintensityofoverinvestment,LangandLitzenbergerfindevidencesupportingthefreecashflowtheoryinrelationtocashdividends.Theirempiricalresultsareconsistentwiththehypothesisthatdividendchangesbyoverinvestingfirmsinformstockholdersofthefirm'

sinvestmentpolicyratherthansignallingpositiveasymmetricinformationregardingthefirm'

sfutureprofitability.Howe,HeandKao（1992）extendthestudyofLangandLitzenbergerbyexaminingthefreecashflowhypothesisinrelationtobothtenderofferrepurchasesandspeciallydesigneddividends（SDD）.UnlikeLangandLitzenberger,however,theyfindthatthereisnodifferentialannouncementeffectforhigh-Q（value-maximizing）andlow-Q（overinvesting）firmsinrelationtoeitherstockrepurchasesorSDD.

Sincecashdividends,SDD,andrepurchasesrepresentalternativecashdisbursementmethods,theconflictingresultsofLangandLitzenbergerandHowe,HeandKaopresentanempiricalpuzzle.Toshedlightonthispuzzle,wepartitionoursampleoffirmsrepurchasingtheirstockviaaself-tenderofferintothreegroupsbasedonthesourceofthefirms'

freecashflows.Evidenceconsistentwiththefreecashflowhypothesisisfound.

Thearticleisstructuredasfollows:

section2describesthemethodologyfordeterminingthesourceofthefreecashflow（overinvestment）problemandcompetingexplanations.Section3describesthedata.Theempiricalresultsaregiveninsection4.Concludingremarksarepresentedinsection5.Analternativetestofthesignallingtheoryispresentedintheappendix.

2.Methodology

Toclarifytheimplicationsofthefreecashflow（overinvestment）andsignallingtheories,denotethevalueofthefirmbyVandtheinvestedcapitalbyK.ValuemaximnizationoccurswheneverdV/dK=1.OverinvestingimpliesthatdV/dK<

1.Supposethatafirmranksitsinvestmentprojectsintermsofprofitability,forexample,bytheexpectedinternalrateofreturn（IRR）.ThendV/dK=1impliesthatatthemarginp=R,wherepisthefirm'

scostofcapitalandRistheexpectedinternalrateofreturn.Suchanequilibriumdictateshowmuchofthefirm'

savailableresourcesshouldbemaintainedforreinvestmentandhowmuchshouldbedistributedtostockholders.Freecashflowsareprecludedinsuchanequilibrium.

Forsimplicityandwithoutlossofgenerality,assumeaone-periodmodelwherethefirminvestsattoandatt1thefirmreinvestsanddistributesdividends.Considerthefollowingthreescenarios:

A.Attimet（whereto<

t<

tl）,theagentpossessespositiveasymmetricinformationregardingthefirm'

sfutureprofitability.Thisasymmetricinformationcaneitherberegardingtheperformanceofexistingcapitalornewprojectswhichare