庫藏股制度至89年8月9日實施以來至90年底，共506件股票購回宣告，申請庫藏股家數佔總上市家數達37.23%，顯見上市公司對此制度的殷切需求。本研究利用89.8.9∼90.12.31期間，上市公司利用庫藏股制度實施股票購回的事件，研究背後影響公司實施股票購回的動機。為了瞭解市場預期對宣告後效果的影響，本研究建立預測模型，並藉此判斷預期正確與預期錯誤的宣告事件。對於影響宣告後股票異常報酬率的因素，本研究認為如同公司宣告現金股利效果，是公司釋放未來公司營運會好轉的訊息，宣告後效果與過去的會計資訊有關。實證結果如下：（1）國內上市公司股票購回動機，符合最適財務槓桿假說、股利或租稅假說，同時董監持股質押比率愈高，以及過去曾透過子公司買回母公司股票的企業，會傾向實施庫藏股進行股票購回。（2）市場未預期到的股票購回宣告，實證結果並未發現顯著高於正確預期事件。（3）宣告效果無法證實與過去會計資訊有關，但與自由現金流量、股價被低估程度，以及資訊不對稱程度成顯著正相關。

There are 506 announcements of stock repurchases from 1999.8.9 to the end of 2001 after Taiwan adopting the law of treasury stock. It’s obviously that companies issued in the stock market need the law because the percent of applying is up to 37.23%. We study the announcements during 1999.8.9 to 2001.12.31 and try to find out the motives of stock repurchases. For understanding the effect of market prediction, we try to set up a prediction model and separate the result of market prediction to right and wrong. Regarding the factor of affecting the cumulative abnormal return after announcement, we argue that it’s quite similar with cash dividend announcement as companies signal the good news of becoming better in the future. It infers that the effect of announcement relates to former accounting information. The result show as following: (1) the motives to stock repurchases are consistent with optimal leverage ratio hypothesis, dividend or tax hypothesis. The companies would intend to stock repurchase when the board of directors had higher collateral ratio or the enterprise ever used the subsidiary company to repurchase the stock. (2) we can’t prove that the unexpected announcement has higher abnormal return than the expected one. (3) we also can’t prove that the former accounting information affect the abnormal return, but we can see the it positively relates to the free cash flow, undervaluation, and the degree of information asymmetry.

第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 3
第三節 研究架構 4
第二章 文獻探討 6
第一節 實施股票購回之動機 6
第二節 宣告後異常報酬率實證 14
第三節 庫藏股與交叉持股 16
第四節 小結 18
第三章 研究假設與研究方法 19
第一節 研究假設 19
第二節 研究模型建立與變數定義 29
第三節 樣本敘述 36
第四章 實證結果分析 39
第一節 股票購回因素實證分析 39
第二節 股票購回之異常報酬因素實證分析 52
第五章 結論與建議 60
第一節 研究結論 60
第二節 研究限制 61
第三節 研究建議 62
參考文獻 63
國內參考文獻： 63
國外參考文獻： 64

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