由於股票市場的特質與政經環境的不穩定，台灣股票市場常出現非基本面因素所引起的股價下跌，因此政府於民國八十九年八月正式開放買回庫藏股制度，讓公司能夠以合法且合理的方式來遏止股價不正常的下跌。庫藏股制度在國外已實施多年，許多文獻皆證明實施庫藏股的訊號效果能帶給股價正的異常報酬。
本篇研究以事件研究法為主，輔以複迴歸加以驗證，研究期間為民國89年8月至民國94年12月，以台灣上市公司為研究樣本，研究目的除了驗證以上的訊號效果之外，並依執行面以及公司基本面因素，分別探討其對股價異常報酬的影響。庫藏股執行面的因素包括：預計買回股數比例、實際買回執行率、重複實施次數；公司基本面的因素則包括：公司規模與股票的淨值市價比。
研究結果發現台灣上市公司實施庫藏股後有顯著的正向異常報酬，但拉長觀察期則發現此效果只持續到執行期結束後一個月。執行面部份本研究發現預計買回股數與股價異常報酬成顯著的正向關係，執行率與重複實施次數則只有事件研究法證明其與股價異常報酬有顯著關係。另外也發現規模小與淨值市價比高的公司，在實施庫藏股後呈現較高的股價異常報酬。

Because the characteristics of Taiwan’s stock market are special and environment of politics and economics is relatively unstable, unreasonable drops often happen to stock prices. Under the circumstances, the amendment to the Securities and Exchange Law, Article 28-2, was passed in June 2000, allowing Taiwan Stock Exchange (TSE) and Over-the-counter (OCT) listed firms to repurchase a portion of their outstanding shares to lessen the abnormally drop of stocks prices. Open-market repurchases have commonly been adopted for quite a time in the Western countries, and many referable records all show that the signaling effect of repurchases brings positive abnormal returns.
The methodology of this study is the market model of event study, with a multiple regression model to check its robustness. The study lasted from Aug 2000 to Dec 2005 and focused on TSE-listed firms. Besides the signaling, this study also probes into the abnormal returns of stock prices influenced respectively by repurchase behaviors and foundations of firms. The influencing factors for repurchase behaviors are the percentage of stock to be repurchased, the percentage of actual repurchased stock, and the frequency of share repurchases. The influencing factors for foundations of firms are the sizes of firms and book-to-market value (BTMV).
It is found that although TSE-listed firms are able to gain remarkable abnormal returns resulting from repurchases, the market response time to actual repurchases only sustains one month after repurchases are put into effect. About repurchase characteristics, the percentage of stock to be repurchased is in proportion to abnormal returns, while the percentage of actual repurchases and the frequency of repurchases are not significant in the multiple regression models. Moreover, the market responds the most favorably to repurchases that made by firms of a small size or a high value (high BTMV).

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