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題名 以購併事件長期績效觀短期市場反應效率 作者 王君淳 貢獻者 李桐豪
王君淳關鍵詞 購併
長期績效
短期股價績效
市場反應日期 2008 上傳時間 9-May-2016 11:50:03 (UTC+8) 摘要 早期的購併股價績效研究，多以短期CAR模型作為衡量方式，但購併行為的促成與否，多以長期是否有綜效的出現來決定。故本研究以短期與長期股價績效衡量之結果，來看市場是否可以真實在購併當下反映出購併兩至三年後的價值，發現(1)購併股價績效以短期方式衡量都沒有異常報酬的出現，顯示市場並不預期購併對於主併公司會出現綜效或損失，所以股價並沒有異常報酬；(2)以長期方式衡量，則會因使用的模型不同而使結果出現分歧，全體、非金融、相關樣本長期績效以AMAR及BHAR模型衡量，會出現負向異常報酬，顯示市場不能在購併當時立即股價反應購併價值；以三因子模型衡量，卻顯示無異常報酬，可能原因為其與AMAR、BHAR模型在選取預期報酬的標準不同導致。(3)金融樣本則是在長、短期都不會出現異常報酬，表示金融業購併沒有綜效出現，且此一事實會立刻被市場反應。(4)非相關樣本在長期績效的衡量上以三種不同模型會得到三種不同結果，無法確實區分出其長期績效為何。(5)綜效動機下的購併行動以長期方式檢測有負向異常報酬，而短期則無，可能是因為在分群時被資訊誤導，自傲假設或代理人問題的購併行動被誤判為綜效動機，導致長期市場發現沒有綜效而調整股價，使股價下跌。(6)非綜效動機下的購併樣本，以長、短期方式檢測都無異常報酬，表示在購併宣告時，市場已經認為將來該購併不會有綜效出現，因此股價沒有異常反應，而長期觀之，市場也確實沒有異常報酬的產生，完全依照市場機制的運行。 關鍵字：購併、長期績效、短期股價績效、市場反應 參考文獻 徐啟升、林灼榮、李淯靖(民國93年),“台灣上市併購公司之股票長期績效分析” 東海大學國際貿易研究所碩士論文 Alan Gregory(1997),“Anexamination of the Long Run Performance of UK Acquiring Firms.” Journal of Business Finance&Accounting, Vol24,No.7&8, September , pp. 306-686. Anju Seth, Kean P. Song and Richardson Pettit (2000),“Synergy, Managerialism or Hubris? An Empirical Examination of Motives for Foreign Acquisitions of U.S. Firms.” Journal of International Business Studies, Vol. 31, No. 3, pp. 387-405. Anup Agrawal, Jeffrey F. Jaffe and Gershon N. Mandelker (1992),“The Post-Merger Performance of Acquiring Firms: A Re-Examination of an Anomaly.” The Journal of Finance, Vol. 47, No. 4, pp. 1605-1621. Asquith, P. (1983), “ Merger bids, uncertainty, and stockholder returns. ” Journal of Financial Economics 11, pp.51-83 Brad M. Barber and John D. Lyon (1997),“Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics.” Journal of Financial Economics 43, pp. 341- 372. Bradley M. Desai A. and Kim, E.H.(1982), “Specialized Resources and Competition in The Market for Corporate Control.” Typescript. Ann Arbor: University of Michigan, Graduate School of Business. Bradley M., Desai A. and Kim, E.H.(1983a), “Determinants of The Wealth Effects of Corporate Acquisition Via Tender Offers: Theory And Evidence.” Typescript. Ann Arbor: University of Michigan, Graduate School of Business. Dimson, Elroy and Paul Marsh(1986), “Event Study Methodologies and The Size Effect: The Case of UK Press Recommendations.” Journal of Financial Economics 17,pp.113-142. Dodd P.(1980), “Merger Proposals, Managerial Discretion and Stockholder Wealth.” Journal of Financial Economics 8(June), pp.105-138. Dodd P. and Jerold B. Warner.(1983), “On Corporate Governance: A Study of Proxy Contests.” Journal of Financial Economics 11 (Aprial). pp.401-438 Elazar Berkovitch, M. P. Narayanan(1993), “Motives for Takeovers: An Empirical Investigation.” The Journal of Financial and Quantitative Analysis, Vol.28, No.3, pp. 347-362. Ervin L. Black, Thomas A. Carnes, Tomas Jandik and B. Charlene Henderson (2007), “The Relevance of Target Accounting Quality to the Long-Term Success of Cross-Border Mergers.” Journal of Business Finance & Accounting, Vol.34, No1&2, pp.139–168, January/March 2007. Eugene, F. Fama and Kenneth R. French (1993),“Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33 , pp.3-56. Eugene, F. Fama, L. Fisher, M. C. Jensen and R. Roll. (1969), “The Adjustment of Stock Prices to New Information.” International Economic Review 10, pp.1-21. Firth, M.(1980), “Takeovers, Shareholder Returns and The Theory of Firm.” Ouarterly Journal of Economics(March), pp.241-273 Jaffe, J.(1974), “Special Information and insider trading.” Journal of Business 47, pp.410-428. Malatesta, P.H.(1983), “The Wealth Effect of Merger Activity and The Objective Functions of Merging Firms.”Journal of Financial Economics 11(April), pp. 155-181 Mandelker, G.(1974), “Risk and Return: The Case of Merging Firms.” Journal of Financial Economics 1, pp.303-335 Mark, L. Mitchell, Kenneth Lehn(1990), “Do Bad Bidders Become Good Targets?” The Journal of Political Economy,Vol.98,NO.2,pp.372-398 Neyman, J. and E. Pearson, (1928), “On the Use and Interpretation of Certain Test Criteria for Purposes of Statistical Inference, Part Ⅰ.” Biometrica 20A, pp.175-240. Seyhun, H. N.(1990), “Do Bidder Managers Knowingly Pay Too Much for Target Firms?” Journal of Business, vol. 63, no. 4 Varaiya, N(1985), “A Test of Roll’s Hubris Hypothesis of Corporate Takeovers.” Working paper. Dallas. Patell, J.(1976), “ Corporate Forecast of Earnings Per Share and Stock Price Behaviour: Empirical Tests.” Journal of Accounting Research (Autumn), pp.246-276. Randall Morck, Andrei Shleifer, Robert W. Vishny(1990), “Do Managerial Objectives Drive Bad Acquisitions?” The Journal of Finance, Vol. 45, No. 1, (Mar., 1990), pp. 31-48 Richard Roll(1986), “The Hubris Hypothesis of Corporate Takeovers.” Journal of Business, 1986, vol. 59, no. 2 描述 碩士
國立政治大學
金融研究所
95352021資料來源 http://thesis.lib.nccu.edu.tw/record/#G0095352021 資料類型 thesis dc.contributor.advisor 李桐豪 zh_TW dc.contributor.author (Authors) 王君淳 zh_TW dc.creator (作者) 王君淳 zh_TW dc.date (日期) 2008 en_US dc.date.accessioned 9-May-2016 11:50:03 (UTC+8) - dc.date.available 9-May-2016 11:50:03 (UTC+8) - dc.date.issued (上傳時間) 9-May-2016 11:50:03 (UTC+8) - dc.identifier (Other Identifiers) G0095352021 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94763 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 95352021 zh_TW dc.description.abstract (摘要) 早期的購併股價績效研究，多以短期CAR模型作為衡量方式，但購併行為的促成與否，多以長期是否有綜效的出現來決定。故本研究以短期與長期股價績效衡量之結果，來看市場是否可以真實在購併當下反映出購併兩至三年後的價值，發現(1)購併股價績效以短期方式衡量都沒有異常報酬的出現，顯示市場並不預期購併對於主併公司會出現綜效或損失，所以股價並沒有異常報酬；(2)以長期方式衡量，則會因使用的模型不同而使結果出現分歧，全體、非金融、相關樣本長期績效以AMAR及BHAR模型衡量，會出現負向異常報酬，顯示市場不能在購併當時立即股價反應購併價值；以三因子模型衡量，卻顯示無異常報酬，可能原因為其與AMAR、BHAR模型在選取預期報酬的標準不同導致。(3)金融樣本則是在長、短期都不會出現異常報酬，表示金融業購併沒有綜效出現，且此一事實會立刻被市場反應。(4)非相關樣本在長期績效的衡量上以三種不同模型會得到三種不同結果，無法確實區分出其長期績效為何。(5)綜效動機下的購併行動以長期方式檢測有負向異常報酬，而短期則無，可能是因為在分群時被資訊誤導，自傲假設或代理人問題的購併行動被誤判為綜效動機，導致長期市場發現沒有綜效而調整股價，使股價下跌。(6)非綜效動機下的購併樣本，以長、短期方式檢測都無異常報酬，表示在購併宣告時，市場已經認為將來該購併不會有綜效出現，因此股價沒有異常反應，而長期觀之，市場也確實沒有異常報酬的產生，完全依照市場機制的運行。 關鍵字：購併、長期績效、短期股價績效、市場反應 zh_TW dc.description.tableofcontents 第一章 前言 1 第二章 文獻回顧 4 第一節 動機與短期績效 4 第二節 長期績效研究 7 第三章 假設檢定架構與資料選取 8 第一節 假設檢定與分組 8 第二節 樣本選取 12 第四章 模型架構與樣本分配 13 第一節 實證方法 13 第五章 實證結果 23 第六章 結論與後續建議 30 第一節 結論 30 第二節 後續建議 31 參考文獻 32 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095352021 en_US dc.subject (關鍵詞) 購併 zh_TW dc.subject (關鍵詞) 長期績效 zh_TW dc.subject (關鍵詞) 短期股價績效 zh_TW dc.subject (關鍵詞) 市場反應 zh_TW dc.title (題名) 以購併事件長期績效觀短期市場反應效率 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 徐啟升、林灼榮、李淯靖(民國93年),“台灣上市併購公司之股票長期績效分析” 東海大學國際貿易研究所碩士論文 Alan Gregory(1997),“Anexamination of the Long Run Performance of UK Acquiring Firms.” Journal of Business Finance&Accounting, Vol24,No.7&8, September , pp. 306-686. Anju Seth, Kean P. Song and Richardson Pettit (2000),“Synergy, Managerialism or Hubris? An Empirical Examination of Motives for Foreign Acquisitions of U.S. Firms.” Journal of International Business Studies, Vol. 31, No. 3, pp. 387-405. Anup Agrawal, Jeffrey F. Jaffe and Gershon N. Mandelker (1992),“The Post-Merger Performance of Acquiring Firms: A Re-Examination of an Anomaly.” The Journal of Finance, Vol. 47, No. 4, pp. 1605-1621. Asquith, P. (1983), “ Merger bids, uncertainty, and stockholder returns. ” Journal of Financial Economics 11, pp.51-83 Brad M. Barber and John D. Lyon (1997),“Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics.” Journal of Financial Economics 43, pp. 341- 372. Bradley M. Desai A. and Kim, E.H.(1982), “Specialized Resources and Competition in The Market for Corporate Control.” Typescript. Ann Arbor: University of Michigan, Graduate School of Business. Bradley M., Desai A. and Kim, E.H.(1983a), “Determinants of The Wealth Effects of Corporate Acquisition Via Tender Offers: Theory And Evidence.” Typescript. Ann Arbor: University of Michigan, Graduate School of Business. Dimson, Elroy and Paul Marsh(1986), “Event Study Methodologies and The Size Effect: The Case of UK Press Recommendations.” Journal of Financial Economics 17,pp.113-142. Dodd P.(1980), “Merger Proposals, Managerial Discretion and Stockholder Wealth.” Journal of Financial Economics 8(June), pp.105-138. Dodd P. and Jerold B. Warner.(1983), “On Corporate Governance: A Study of Proxy Contests.” Journal of Financial Economics 11 (Aprial). pp.401-438 Elazar Berkovitch, M. P. Narayanan(1993), “Motives for Takeovers: An Empirical Investigation.” The Journal of Financial and Quantitative Analysis, Vol.28, No.3, pp. 347-362. Ervin L. Black, Thomas A. Carnes, Tomas Jandik and B. Charlene Henderson (2007), “The Relevance of Target Accounting Quality to the Long-Term Success of Cross-Border Mergers.” Journal of Business Finance & Accounting, Vol.34, No1&2, pp.139–168, January/March 2007. Eugene, F. Fama and Kenneth R. French (1993),“Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33 , pp.3-56. Eugene, F. Fama, L. Fisher, M. C. Jensen and R. Roll. (1969), “The Adjustment of Stock Prices to New Information.” International Economic Review 10, pp.1-21. Firth, M.(1980), “Takeovers, Shareholder Returns and The Theory of Firm.” Ouarterly Journal of Economics(March), pp.241-273 Jaffe, J.(1974), “Special Information and insider trading.” Journal of Business 47, pp.410-428. Malatesta, P.H.(1983), “The Wealth Effect of Merger Activity and The Objective Functions of Merging Firms.”Journal of Financial Economics 11(April), pp. 155-181 Mandelker, G.(1974), “Risk and Return: The Case of Merging Firms.” Journal of Financial Economics 1, pp.303-335 Mark, L. Mitchell, Kenneth Lehn(1990), “Do Bad Bidders Become Good Targets?” The Journal of Political Economy,Vol.98,NO.2,pp.372-398 Neyman, J. and E. Pearson, (1928), “On the Use and Interpretation of Certain Test Criteria for Purposes of Statistical Inference, Part Ⅰ.” Biometrica 20A, pp.175-240. Seyhun, H. N.(1990), “Do Bidder Managers Knowingly Pay Too Much for Target Firms?” Journal of Business, vol. 63, no. 4 Varaiya, N(1985), “A Test of Roll’s Hubris Hypothesis of Corporate Takeovers.” Working paper. Dallas. Patell, J.(1976), “ Corporate Forecast of Earnings Per Share and Stock Price Behaviour: Empirical Tests.” Journal of Accounting Research (Autumn), pp.246-276. Randall Morck, Andrei Shleifer, Robert W. Vishny(1990), “Do Managerial Objectives Drive Bad Acquisitions?” The Journal of Finance, Vol. 45, No. 1, (Mar., 1990), pp. 31-48 Richard Roll(1986), “The Hubris Hypothesis of Corporate Takeovers.” Journal of Business, 1986, vol. 59, no. 2 zh_TW
