鑑於我國證券交易市場受非經濟因素影響致股價下跌之情形時而有之，證券主管機關一財政部證券暨期貨管理委員會為健全證券市場之發展，自民國八十五年七月起即積極研議建立庫藏股票制度，直至民國入十九年六月三十日經立法院三讀通過包括證券交易法第二十八條之二有關庫藏股等部分條文修正案，並於同年七月十九日經總統公布後，於同年八月七日訂定發布「上市上櫃公司買回本公司股份辦法」後正式實施。 庫藏股制度之實施，係為一種穩定市場的調節機制，為避免上市、上櫃公司因非財務或業務因素，導致公司股價不合理下跌，而影響公司信用、損及股東權益，於必要時由公司買回自己的股份，其對於企業延攬人才、認股權憑證等金融商品之發行及維護證券市場之安定，有積極之功能與效用。 自八十九年八月十日廣豐實業股份有限公司申報買回股份開始，截至九十年十一月底止，有三○九家上市、櫃公司施行庫藏股制度，目的為轉讓股份予員工、股權轉換或維護公司信用及股東權益而買回其股份。惟我國實施庫藏股制度將近二年，其成效如何，所帶來的經濟效果是否如主管當局所預期，公司所承擔的經營風險又是如何？諸此，乃是本研究的重點。 本研究係以八十九年八月至九十年九月底止已施行庫藏股制度之上市公司為研究對象，透過事件研究法檢驗異常報酬的方式來評估庫藏股制度的宣示效果外，並以CAPM（資本資產訂價模式），觀察公司實施庫藏股前後市場風險（β）變化；另利用無母數統計方法，就上市公司之關係企業交叉持股情況與買回庫藏股作關聯性分析，檢視交叉持股與庫藏股施行之關係。 研究結果如下： 一、公司宣告實施庫藏股前，其股價通常有異常下跌的情形，宣告前三十天至宣告前一日的累積異常報酬高達-11.80％，宣告實施庫藏股後，累積異常報酬逐漸止跌回升，其中以宣告當日至宣告後第三日的異常報酬最為明顯，宣告後三十日累積異常報酬回升至-1.93％，顯示公司實施庫藏股確實存在著穩定股價的效果。 二、公司實施庫藏股後的市場風險月，較宣告前的市場風險心顯著下降，表示就短期而言，公司實施庫藏股後確實能降低該公司證券的市場風險。 三、根據599家上市公司之關係企業持有母公司股份及買回庫藏股資料，利用卡方獨立性檢定，發現交叉持股與實施庫藏股有顯著關聯性；進一步採用Spearman等級相關分析，發現上市公司關係企業持股佔母公司已發行股份總數比例變動情形，與買回公司股份佔其已發行股份總數比例亦有顯著之關聯，呈同向變動，亦即交叉持股的情況未因庫藏股之實施而有所減少。 關鍵字：庫藏股、股票買回、交叉持股 / Seeing that sometimes our stock markets are disturbed by non-economic factors makes the price of stock come down. The Securities and Futures Commission (SFC) has been committed to developing a sound stock market. It began to consider establishing the treasury stock system since July 1996. The amendment of The Securities Law, promulgated on July 19, 2000, includes the treasury stock system. SFC announced the“Guidelines for Buying Back Company shares by TSE-listed and OTC-listed Companies”on August 7,2000. The treasury stock system is an adjustment mechanism of stable market, in order to avoid the unreasonable falling in stock price of TSE-listed and OTC- listed Companies by non-financial or financial factors, influence company credit and shareholders' equity. The company can buy back shares when it is necessary. It is positive that the company invites qualified personnel, the warrants are issued and the stability of the stock market is maintained. Since Kwong Fong Industries Corporation started to declare buying back shares on August 10, 2000. By the end of Nov. 2001, a total of 3 09 TSE-listed and OTC-listed companies carried out the treasury stock system. These companies buy back shares for the purpose of transferring to employee, conversion of stock equity, maintaining company trust and stockholders' equity. We have carried out the treasury stock system for two years. How are effects of the treasury stock system? Did it come up to expectations of SFC? How are risks of these companies operating? Such these topics are focus of this research. These TSE-listed companies of buying back company shares from August 2000 to September 2001 are objects of this study. An event study methodology is used to examine the excess returns to evaluate the announcement effects of treasury stock. By CAPM, it can compare the changes on market risk before and after these companies carried out the treasury stock system. Nonparametric method is used to analyze the relationship between the cross holding and the stock repurchase. The results of this study are as follows: 1.The stock price is often descending before the announcement on buying back company shares, the accumulative abnormal returns reach -11.080% from 30 days to I day before stock-repurchase announcement, but the accumulative abnormal returns are increasing gradually after stock-repurchase announcement. The abnormal returns have significantly from the day of announcement to 3 days after the announcement. The accumulative abnormal returns reach -1.93% on 30 days after stock-repurchase announcement. So, it exists the stock price stability effect on carrying out the treasury stock system. 2.The market risk after company buying back shares is lower significantly. In the short term, the company using the treasury stock system can reduce market risk. 3.There are significant relation between Cross-holding and stock-repurchase. Furthermore, the ratio of parent company's shares held by its subsidiary company has positive correlation with that of parent company buy back shares of its own. Key words: Treasury stock ; Stock repurchase ; Cross holding

庫藏股制度於國外已經行之有年，特別是美國，早在1960年代即有庫藏股交易。我國上市上櫃股票可合法買回自己公司股票制度始於2000年所通過的上市上櫃公司買回本公司股份辦法，除了希望藉以提振東南亞金融危機中不振的股市表現，也賦予企業多一種能向投資人傳遞訊息的管道。本研究基於股票買回的各項假說，希望探究公司股票買回宣告的動機還有事件宣告後對於公司股價的影響效果，最後並檢視公司的宣告決策是否會受到前次購回宣告的表現所影響。 在假說驗證方面，以2000至2004年上市公司832家、上櫃公司236家曾經宣告買回自家股票的公司為研究樣本，輔以選出與買回樣本同時間的相同數量「未買回樣本」，透過1-way ANOVA測試與鑑別分析探討影響公司宣告股票買回的因素符合哪些假說的推論結果。此外，依據各項假說，進ㄧ步利用1-way ANOVA測試和複迴歸分析找出與公司事件宣告後股價異常報酬率之間的關係，接著以1-way ANOVA檢視最後一部份研究主題。經由上述的實證分析，本研究獲得以下主要結論： 1.公司買回自家的股票平均而言對於股價有正面的影響效果。 2.以上市公司而言，影響公司宣告股票買回的假說包括了：自由現金流量假說、個人所得稅節稅假說與財務槓桿假說。以上櫃公司而言則包括：自由現金流量假說、個人所得稅節稅假說與資訊信號假說。 3.以上市公司而言，股票買回宣告後，股價的正向異常報酬與：自由現金流量假說、管理者的誘因假說呈現相關關係。上櫃公司則包括：自由現金流量假說。 4.本次是否再度宣告股票買回會受前次買回的正向累積異常報酬率所影響。 / Stock price reactions on stock repurchase announcements among publicly traded corporations have been widely studied over 40 years in United States. Several hypothesizes were established and provide logical reasons for why corporations buy back their own stocks. References show large proportion of positive effect on post-announcement stock price after stock repurchase announcements from empirical researches. It is since 2000 that corporations are allowed to repurchase their own stocks legally in Taiwan. Although many efforts were put in surveying the post-announcement stock price reactions, few focused on examining how corporations’ repurchase decision would be influenced by different hypothesizes. Moreover, whether or not previous repurchase outcome may affect future repurchase judgments met contradict conclusion from recent studies. This research aims on exploring the two main topics which form 7 hypothesize. Data collecting from Taiwan Economic Journal (TEJ) database, Commercial Times and Economic Daily News contains publicly traded corporations had ever made stock repurchase announcement except financial and government institutions. The period of the study was from Aug. 6, 2000 to Jul. 31, 2004 and total number of announced corporations included was 832 listed on the Taiwan Security Exchange with 236 listed on the OTC separately. Hypothesis 1 to 6 were tested both from individual model using 1-way ANOVA Analysis and integrated model using Discriminate Analysis on Hypothesis 1 to 5, Event Study Analysis on Hypothesis 6. Hypothesis 7 was also verified with 1-way ANOVA Analysis. The empirical results show supports in several hypothesize which reflect corporations did concern free cash flow amount, leverage level, stock underpriced and dividend payout level issues when making repurchase announcement. The stock price after announcement has certain degree of moving correlation toward the same direction as free cash flow level and managerial stockholding level. Finally, previous repurchase outcome was found holding opposite relation with future repurchase judgments.