由於國內庫藏股制度已實施一段時間，且過去探討庫藏股買回文獻之樣本數及期間有限，故本研究以更完整之樣本資料重新檢視該事件對股價之影響。本研究採用事件研究法，檢視自民國89年至95年，國內上市上櫃公司宣告股票買回後，其股價之變動情形，探討此事件對該公司股價是否存在短期宣告效果與長期效果，且為了解該事件所帶來異常報酬是否會因不同產業別及執行率而有所不同，進一步區分電子、非電子業及高、低執行率樣本。實證結果發現，公司宣告股票買回當天及翌日，其異常報酬值皆顯著為正，顯示宣告效果確實存在。尤其，非電子業比電子業有較高異常報酬，而低執行率公司在宣告買回庫藏股後所產生之異常報酬也顯著高於高執行率公司。在長期效果方面，利用等值加權平均法與市值加權平均法所得到的BHAR皆顯著為正，顯示公司實施股票買回後存在長期異常報酬，特別是非電子業有較高的顯著性，且針對長期報酬做偏態調整，其結果發現長期效果仍舊顯著。

Stock repurchases have implemented in Taiwan for several yeas. However, the datasets and sample periods in previous relevant literatures are limited. In this study, we reexamine the impacts of the event on stock prices. This study adopts the standard event-study method to examine the stock price reaction to the stock repurchases of firms listed on TSEC and OTC in Taiwan form 2000 to 2006. We investigate whether the announcement effect and long-term effect exist due to stock repurchases. Furthermore, to understand whether different industries or execution rates in stock repurchases influence the abnormal returns, we separate full sample into electronic/non-electronic industry and high/low execution rate. The empirical results are as follows. We find that the cumulative abnormal returns of event firms are positively significant around announcement date. In particular, non-electronic industries and firms with low execution rate earn higher abnormal returns than electronic industry and firms with high execution rate, respectively. As for the long-term effect, we find that the 3-year EW/VW buy-and-hold abnormal returns are also positively significant. Firms in non-electronic industries have more significant abnormal returns than those in electronic industry, and we find that long-term effect still exists after skewness adjustment for t-statistics.

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8. 楊文振，「股票買回對股價行為之影響-考量宣告效果與執行效果下的實證結果」，私立朝陽科技大學財務金融研究所，民國91年6月。
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