本研究探討企業對外宣告導入企業資源規劃系統 (ERP) 時，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，造成股價期望報酬沒有被客觀評估。目前所有國內外，關於ERP宣告效果的研究，均只採用市場模式 (Market model) 為評價模型。因此，本研究針對企業對外宣告ERP之導入除了採用一因子資產定價模型外，另外參考 Fama and French (1993)、Carhart (1997)，及Lai et al. (2010) 等學者的研究，採用三因子、動能四因子及財務風險四因子評價模型，並採行配對樣本檢定的方式，來檢測企業對外宣告導入ERP是否會帶來投資者顯著的異常報酬。
研究結果發現除了一因子資產定價模型外，三因子及兩個四因子模型在宣告日隔天的異常報酬皆呈現正向且顯著，表示當公司宣告ERP時，會帶來正面的宣告效果。而累積異常報酬在(-1,1)及(0,2)的窗口期，除了一因子評價模型外，Fama and French (1993)三因子及兩個Carhart (1997)、Lai et al. (2010)四因子是呈正向且顯著，同樣的顯示當公司宣告ERP時，會帶來正面的宣告效果。而與配對樣本之比較結果發現，財務風險之四因子評價模型的異常報酬於宣告日隔天呈正向顯著。因此，結果說明了採用多因子評價模型會較客觀，換言之，支持了Fama and French (1993)三因子及Lai et al. (2010)四因子要將規模溢酬、淨值市價比及財務風險納入考量。
此外，回歸分析發現，在三因子及四因子評價模型下，公司規模及ERP供應商皆於三天之窗口期顯著；表示公司規模大小會影響異常酬，且導入國外ERP對異常報酬是正向的影響，說明了國外供應商能提供較好的服務品質。

The purpose of this research is to examine how the market responds when a firm announces that it plans to implement an ERP system. Owning to over simplification of the asset pricing model in previous studies, the abnormal returns might not be evaluated in an objective way. The studies about the announcement effect of ERP implementation currently apply only the market model to measure market reaction. Thus, we apply not only a one-factor pricing model, but also Fama and French’s (1993) three-factor pricing model, the Carhart (1997) four-factor pricing model (four-factor momentum pricing model) and Lai et al.’s (2010) four-factor pricing model (four-factor financial distress pricing model) in order to consider more factors that might affect the capital market. Furthermore, we employ matched samples to control some unknown variables.
Our results indicate that, except for the one-factor pricing model, the abnormal returns of announcement effect in the three-factor and two four-factor pricing models are significant and positive one day after announcement day. This indicates that the implementation of ERP has a positive effect on stock returns. In addition, except for the one-factor pricing model, the three-factor and two four-factor pricing models are significantly positive at the three-day event windows (-1, 1) and (0, 2) based on the cumulative abnormal return. This also indicates that the implementation of ERP has positive effect on stock returns. Compared to the abnormal returns for the matched samples, the abnormal returns for the four-factor financial distress pricing model are significantly positive on the day after announcement day. Therefore, it appears to be more objective to apply multiple-factor pricing models. In other words, the results support the findings of Fama and French’s (1993) three-factor pricing model and Lai et al.’s (2010) four-factor pricing model suggesting that in addition to market factors, size premium, book-to-market ratio and financial risk premium also need to be included in the asset pricing model.
In addition, based on the results of the regression analysis, firm size and ERP vendor are significantly positive for Fama and the French three-factor pricing model as well as the financial distress four-factor pricing model. The results indicate that firm size will affect stock returns and that firm stock returns will be positively affected by foreign ERP vendors.

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