The stock repurchase of companies is a significant financial instrument applying to the global stock exchange. This study aims to find the effect of the stock repurchase announcement on stock returns. Additionally, the researcher studies abnormal return (AR) and cumulative abnormal return (CAR) of Thai common stock between pre-period and post-period of the stock repurchase announcement. This research classifies companies by 8 sectors to analysis and compare their abnormal return. The sample in this studied are 91 firms on the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (mai). In the Thai stock market, stock repurchase was initiated on July 4, 2001. Thus, the number of stock repurchase is totally 117 from 2001 to 2017. The findings show that there is a positive return after the day of repurchase announcement and the abnormal return (AR) is at 2.80 per cent at the first day in the post-announcement period. For cumulative abnormal return (CAR), it also shows a positive and statistically significant only in the period after the announcement and then increases to 3.61 per cent at the fifteenth day and 3.63 per cent at the first month after repurchase announcement.
