1、本科畢業(yè)論文（設(shè)計）外 文 翻 譯原文：stock repurchases: a further test of the free cash flow hypothesisthe free 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, 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 firm's investment policy rather than signaling positive asymmetr

3、ic information regarding the firm's 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

4、 find that 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 litzenb

5、erger 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' free cash flows. evidence consistent with the free cash flow hypothesis is f

6、ound.the article 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

7、 5. an alternative 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 impli

8、es 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 (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 internal rate of return. suc

9、h equilibrium dictates how much of the firm's 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 invest

10、s at and at the firm reinvests and distributes dividends. consider the following three scenarios:a. at time t (where< t <), the agent possesses positive asymmetric information regarding the firm's future profitability. this asymmetric information can either be regarding the performance of

11、existing capital or new projects which are executed at. the manager signals this positive unknown information to stockholders by repurchasing some of the firm's stock (signaling theory).b. during the period< t <and prior to the stock repurchase, the expected profitability of the firm's

12、 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 to contract by reducing its capital expenditures at, and uses the cash flow to rep

13、urchase its stock (free cash flow theory).c. there is no change in the firm's 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 distri

14、bution and the observed value exceeds 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 pos

15、itive 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 diametrically different events. in case (b) an "unfavorable" event occurs, while in case (c) a "favorable" event occurs. thus, while the

16、 motive for a stock repurchase under (a) is to signal positive asymmetric information regarding the firm's available projects, the motive for a stock repurchase under(b) and (c) is to revise the firm's investment policy.if firms announcing a self-tender offer can be analyzed in relation to s

17、cenarios (a), (b),and (c) above, insight might be gained into the current 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 t

18、his study, we divide the sample into three groups based on a time series 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 a

19、ble to window dress its financial data in the short run, its ability 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 opera

20、ting 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 unfavorable event (case(b). however, since such ideal scenarios exist in only a few cases, the sample is partitioned into t

21、hree groups as follows:group 1.if at least one of the financial series 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.grou

22、p 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 consists of firms experiencing mixed events.group 3.finally, if one of the financial series increases m

23、onotonically and no monotonic decrease in any of the other series occurs, the firm is classified into group 3.group 3 consists of firms where favorable events occurred in the past.like howe, he and kao (1992), we examine the average daily risk-adjusted residuals during the two day (-1, 0) announceme

24、nt 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 positive announcement effect is predicted under the free cash flow (overinvestment) hy

25、pothesis. 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,

26、 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 clear-cut predictions regarding the da

27、ily 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 t

28、hat 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 f

29、low. 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 sha

30、re 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

31、 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 firm's free cash flow, let us analyze th

32、e relationship between the occurrence 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:first, an unfavorable event is observed (e.g., a decline in earnings). are the firms in this group (grou

33、p 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 firm'

34、;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 le

35、ftward shift in the firm'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 fir

36、ms in group 1 face bad investment opportunities.second, a favorable event is observed (e.g., an increase in earnings). are firms experiencing favorable events (group 3) characterized by free cash flow? not necessarily. to answer this question, again the source of the firm's cash flow must be ana

37、lyzed. if the favorable event is due to a rightward shift in the firm's present and future irr 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 needed to finance future expansion. in this

38、 case, a stock repurchase is not expected, and in fact, a new stock or bond issue might be required. another alternative is that the firm 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 return

39、ed to its equilibrium price). in this case, the firm does 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 with free cash flow.to ana

40、lyze 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 each group are analyzed for twelve months prior to the repurchase and six months thereafter. using the market model is estimated

41、for each firm in the twenty-four months prior to the event period. if our sample stratification is correct, the cars are expected to be negative for group 1 and positive for group 3. to see this, note that favorable and unfavorable events may be associated with the cars (or the stock price) which ar

42、e a function of all future cash flows as follows: if there is a reduction in the cash flow prior to the announcement date, it is likely (but not necessarily) followed by negative cars. for example, a reduction in earnings prior to the announcement is accompanied by positive information regarding fut

43、ure cash flows. in this case, positive cars might be observed prior to t = 0 in spite of the past unfavorable events. the opposite may also occur; that is, negative cars might be observed for a firm experiencing favorable past events. however, it is plausible to assume that either no unusual informa

44、tion regarding the future cash flows exist or that the positive and negative information is distributed uniformly across all firms. therefore, it is reasonable to assume that favorable events are accompanied with positive cars and unfavorable events are accompanied with negative cars. (indeed, we ge

45、t that the cars twelve months prior to the announcement are -17.3% for group 1 and 19.2% for group 3). no clear cut assessment can be made for group 2 (firms experiencing mixed events) or for the combined sample since the cars will depend on the relative size of each group. source: deborah l. guntho

46、rpe,1993 “stock repurchases: a further test of the free cash flow hypothesis”.review of quantitative finance and accounting.march.pp.353-365.譯文：股票回購：對自由現(xiàn)金流量假說的進一步檢驗自由現(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（1992）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

47、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)股票回購和特別股利設(shè)計的選擇上，公告結(jié)果沒有區(qū)別。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(biāo)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。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）問

48、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。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(dāng)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，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。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

49、種情況：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）。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）。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

50、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）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(fēng)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)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。如果公司宣布自己的投標(biāo)報價可以分析以上方案（a）、（b）和

51、（c），洞察可能獲得到當(dāng)前經(jīng)驗的難題。當(dāng)然，衡量先前發(fā)生的股票回購是否有利可能是困難的；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。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

52、在少數(shù)案例中存在，樣本被分為以下三組：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。第二組：如果一個公司的財務(wù)系列隨著時間波動，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。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。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(fēng)險調(diào)整殘值。每個企業(yè)（）的系統(tǒng)性風(fēng)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