The arc melting was employed to prepare undoped $CoSb_3$ compounds and their thermoelectric properties were investigated. Specimen annealed at $400^{circ}C$ for 24 hrs showed sound microstructure. However, considerable voids and cracks were found after annealing at above $500^{circ}C$. It seems to be attributed to the phase dissociation and thermal expansion due to phase transitions during annealing and cooling. Single phase $delta-CoSb_3$ was successfully obtained by annealing at $400^{circ}C$ for 24 hrs. In the case of increasing annealing temperature, phase decompositions occurred. Undoped $CoSb_3$ showed p-type conduction and intrinsic semiconducting behavior at all temperatures examined. Thermoelectric properties were remarkably improved by annealing and they were closely related to phase transitions.