本研究採取追蹤資料型態(panel data)以及欲排除樣本選擇偏誤的影響，根據Kyriazidou(1997)的panel data sample selection model 實施庫藏股購回分析，探討公司是否買回庫藏股的決定因素以及公司買回庫藏股數量對於股價的影響，本研究以樣本選擇模型來分析庫藏股買回的決定因子，發現在決策是否採取庫藏股購回的因素中，負債比率(Leverage)及市值/淨值比(MKBK)為顯著的決定因素，公司的規模大小也會影響庫藏股的決策，然而現金比率(Cash)並不會顯著影響公司是否實施庫藏股購回。在庫藏股是否影響股價的研究中發現，根據實施原因的差異會對股價有不同程度的影響，其中以轉讓員工作為申報庫藏股實施原因的公司，其股價會有顯著的漲幅。在本文中，我們認為是否買回庫藏股的決定與其股價存在內生性問題。我們透過Hausman檢定，檢驗外生模型與內生模型中解釋變數的係數是否有顯著的差異，藉以判斷是否原先回歸式中有內生性偏誤。結果顯示在區分實施原因前，庫藏股的確存在內生性問題，根據內生模型發現，庫藏股對於股價仍會有顯著正面影響。

The dissertation discusses the effect of share repurchase on stock price and find out the factors which significantly influence the decision of repurchasing shares. We use the panel data sample selectin model to analyze the determinants of share repurchases and find out that leverage, P/B ratio and firm size are the most important factors in firm’s decision-making of share repurchases. However, cash ratio is not a significant factor in affecting the determinants of stock repurchases. The dissertation separates share repurchase issues into two different purposes, and shows that firms’ stock price increase significantly only for transferring shares to employee. To test the existence of endogenous problem, we use Hausman test to check the difference between the coefficients of endogenous and exogenous model. The empirical result suggests that share repurchase is not only an endogenous variable which is determined by the stock price, but also affects firms’ stock price positively.

第一章、 緒論........................................................................................1
第一節 研究動機與目的..........................................1
第二節 研究架構................................................4
第二章、 文獻回顧................................................................................6
第一節 實施庫藏股的目的........................................6
第二節 實施庫藏股對股價的影響..................................9
第三章、 研究模型..............................................................................12
第一節 Panel Data Sample Selection Model..........................12
第二節 實證模型...............................................15
第四章、 資料說明..............................................................................17
第一節 資料來源...............................................17
第二節 庫藏股資料說明.........................................17
第三節 敘述統計...............................................18
第五章、 實證結果與分析..................................................................20
第一節 Panel Data Sample Selection Model 與剩餘收益模型...........20
第二節 內外生模型.............................................27
第六章、 結論與建議..........................................................................33
附錄..........................................................................................................36
參考文獻..................................................................................................39

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