本研究藉由心理學中的定錨效應探討公司宣告股票購回後的資訊宣告效果被其影響的現象。我們使用了台灣2011到2016年間的上市公司股票購回資料，發現到當公司宣告購回的上限價格與投資人心中認定的錨點價格產生較大的差距時，宣告效果帶來的正面報酬會部分被定錨效應抵銷；當差距較小時，則不會展現出定錨效應的影響。此外，我們亦發現到長天期的均價、遠天期的最低價或特殊事件導致的價格較容易在投資人心中產生錨點。此外，公司過去股票購回的執行情況也可能留下印象，影響下一次的市場反應。另一方面，若將樣本時間限定在熊市期間，受到市場氛圍的影響，股市會反應出更強烈的定錨效應。

This study explores the impact of investors’ anchoring bias on the announcement effect of stock repurchase. We examine the stock repurchase data of listed company in Taiwan market between 2011 to 2016 and find that when there is a large difference between the price announced and the price which investors believed, the positive market reaction caused by announcement effect will be offset by anchoring effect partially. Conversely, If the price gap is not very large, then the market reaction will not be influenced by anchoring bias. We also find that long term average price, lowest price and the lowest price originated from special event are the price most likely promote investors’ anchoring bias. Besides, using the execution rate data, we find that past execution rate would also lead to investors’ anchoring bias. We further examine the data during bear market and find that anchoring bias has a more significant effect when the market sentiment is pessimistic.

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