我國自2000年8月正式引進在國外已實施已久的庫藏股制度，本研究利用事件研究法分析台灣上市公司宣告購回庫藏股之後是否會有異常報酬的產生。 本研究是以全部的台灣上市公司為樣本，研究期間為2000年8月7日至2008年6月30日，而研究結果如下： 台灣上市公司宣告股票買回日之前，異常報酬率明顯偏低，表示公司宣告股票買回之前股價都有被低估的情形；在宣告日之後，股價則有正的異常報酬產生，表示台灣上市公司具有正向的股票買回宣告效果；而且宣告效果會隨著宣告次數而遞減。 在購回庫藏股的三種目的中，以維護公司信用及股東權益的宣告效果最強；另外在不同產業間，則以金融業之宣告效果最強。最後本研究以迴歸分析庫藏股執行面對於異常報酬的影響，結果發現公司庫藏股執行率越低、股價淨值比越低、公司規模越小、總資產報酬率越大以及每股盈餘越低，其宣告效果越大。 In this study, we applied the event study methodology to analyze the announcement effects of stock repurchases for Taiwan’s listed companies. The sample consists of firms that repurchase stock between August 2000 and June 2008. The empirical result of this study are presented below. Before TSE companies announced stock purchases, the abnormal return is statistically significantly low. The result implies before stock purchase announcement those companies’ stock price are underestimated. The abnormal return was generally significantly positive after repurchase announcement. The announcement effects do exist in Taiwan’s listed companies. The cumulative average abnormal returns of stock repurchases decrease as the number of repurchase announcement increases. For different announced repurchase purposes, companies that repurchasing to maintain firm’s credit and shareholder’s right has the highest abnormal return. Comparing announcement effects among industries, firms in the financial industry have the strongest announcement effects. Finally, in regression analysis, we find that the lower the execute rate is, the smaller the market to book value is, the smaller the size is, the higher the ROA is, and the lower the EPS is, the bigger the announcement effects will be.
