本研究探討企業對外宣告推行電子商務活動，對其股價異常報酬的影響。由於以往研究所使用股票報酬評價模式可能過於簡化，造成股票期望報酬沒有被客觀評估，因此本研究針對企業對外宣告推行電子商務活動的宣告效果作探討，並採用資產定價模型(CAPM)與Fama and French(1993)三因子評價模式作分析，來檢測企業對外宣告推行電子商務活動是否會帶來投資者顯著的異常報酬。
本研究發現企業宣布推展電子商務活動對其股價將產生顯著正向的異常報酬。此外，大規模公司與小規模公司宣告推展電子商務活動均帶來正面的宣告效果，且小規模公司之異常報酬會比較高。然而，當公司宣布推展B2B或B2C電子商務時，其股價所帶來的異常報酬並沒有顯著差異。同時，服務業公司宣告進行電子商務並無法產生顯著的宣告效果。此外，企業宣告推展電子商務活動來銷售實體產品或數位產品均會帶來宣告效果，且兩者之間有顯著的差異。然而，企業以策略聯盟或獨自發展兩種不同方式推展電子商務活動，兩者之間有顯著差異，且以策略聯盟所帶來的異常報酬較大。最後，在市場競爭程度方面，研究結果顯示高市場競爭程度會為企業帶來顯著為正的累積異常報酬，表示市場競爭越激烈，企業宣告推展電子商務活動之可能性也越高。

This paper examines the influence of e-commerce announcement on firm's market value by using capital asset pricing model (CAPM) and Fama and French 3-factor model. The sample includes 521 e-commerce announcements during the period from January 1998 to December 2011.
The results suggest that e-commerce initiatives do indeed lead to significant positive ARs and CARs for firm shareholders. We find that there is no significant difference in CARs between B2B and B2C announcements. However, the ARs of small firms’ announcements are significantly greater than those of large firms. Moreover, ARs for firms with alliance announcements are significantly higher than those implementing e-commerce alone. Firms with higher market competition are greater than those with lower market competition. Finally, we find that there is no significant difference in ARs between the frequence of B2C or B2B announcements.

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