本研究針對1185間實施庫藏股買回的公司做自由現金流量假說的探討，研究期間為89年8月9日至96年12月31日。利用市場模式(Market Model)作為預期報酬的衡量模式，並配合累積異常報酬法(Cumulative Abnormal Return, CAR)來計算庫藏股之短期股價異常報酬。再利用迴歸分析公司之買回目的、市價淨值比、自由現金流量、預計買回比例，對累積異常報酬率的關係。 結論如下： 一、台灣低成市價淨值比公司對於自由現金流量假說確實成立。 二、公司預計買回的比例愈高，累積異常報酬率愈大。 三、公司市價淨值比愈低，累積異常報酬率愈大。 四、公司自由現金流量愈高，累積異常報酬率愈大。 An open-market share repurchase system has been in operation in Taiwan since August of 2000. In this study, the effect on stock returns of 1185 share repurchase announcements in Taiwan was empirically examined. The results indicate that the free cash-flow hypothesis is able to explain those effects, particularly for low-growth companies. Moreover, companies with a higher buy-back ratio, higher free cash-flow, or lower market-to-book ratio, exhibit greater cumulative abnormal returns from repurchase announcements.
