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題名 季節性情緒失調和併購事件的相關性
Relationship between Seasonal Affective Disorder and M&A events作者 黃韋綾
Huang, Wei-Ling貢獻者 周冠男
Chou, Robin K.
黃韋綾
Huang, Wei-Ling關鍵詞 行為財務學
季節性情緒失調
併購事件
Behavioral finance
Seasonal Affective Disorder
Mergers and acquisitions日期 2019 上傳時間 1-Jul-2019 11:12:34 (UTC+8) 摘要 本研究欲探討季節性情緒失調(Seasonal Affective Disorder，簡稱SAD)是否會影響投資人對於併購事件的反應。季節性情緒失調是一種好發於秋季和冬季的情緒失調，過去研究顯示SAD會導致投資人有風險趨避的傾向，進而造成股票報酬的季節性波動。由於併購事件的重大性及複雜性往往會讓投資人難以衡量並做出決策，因此假設投資人受到環境影響的情緒波動會對股市造成更顯著的影響。研究結果發現，併購事件中的收購公司及目標公司其股票報酬都會受到SAD效應影響，更確切地說，SAD變數和股票報酬呈現正相關，但只有在相對較長的事件期間下才會呈現顯著，實證結果意味著SAD對併購事件的影響可能會隨著事件期間拉長越來越顯著。
This study investigates whether the effect of seasonal affective disorder (SAD) will have an impact on investors’ response to merger and acquisition (M&A) events. Seasonal affective disorder is a mood disorder characterized by recurring depression in fall and winter. Prior studies have shown that the tendency of risk aversion caused by SAD leads to seasonal variation in stock returns. Given the fact that M&A is such a substantial and complicated event that makes investors more difficult to measure and make decisions, it is assumed that environment induced mood influence on the stock market can be more evident.Empirical results suggest that the stock returns of both acquirers and targets involved in M&A events have been affected by the effect of SAD. More specifically, there is a positive relationship between the SAD variable and stock returns, but only appears significant in a relatively longer event window. The empirical results imply that the influence of SAD on the M&A transactions may be more evident as the window period extends.參考文獻 Andrade, G., Mitchell, M., & Stafford, E. (2001). New evidence and perspectives on mergers. Journal of Economic Perspectives, 15(2), 103-120.Bhabra, H. S. & Huang, J. (2013). An empirical investigation of mergers and acquisitions by Chinese listed companies, 1997-2007. Journal of Multinational Financial Management, 23, 186-207.Bouzgarrou, H., & Louhichi, W. (2014). Does the financing decision help to understand market reaction around mergers and acquisitions? Journal of Applied Business Research, 30(2), 465-478.Chang, S. (1998). Takeovers of privately held targets, methods of payment and bidder returns. Journal of Finance, 53, 773-784.Chang, S., Chen, S., Chou, R., & Lin, Y. (2008). Weather and intraday patterns in stock returns and trading activity. Journal of Banking & Finance, 32, 1754-1766.Dolvin, S., & Pyles, M. (2007). Seasonal affective disorder and the pricing of IPOs. Review of Accounting and Finance, 6(2), 214-228.Dolvin, S. D., Pyles, M. K., & Wu, Q. (2009). Analysts get SAD too: The effect of seasonal affective disorder on stock analysts` earnings estimates. Journal of Behavioral Finance, 10(4), 214-225.Eisenberg, A. E., Baron, J., & Seligman, M. E. P. (1998). Individual differences in risk aversion and anxiety. Working paper, Department of Psychology, University of Pennsylvania.Fuller, K., Netter, J., & Stegemoller, M. (2002). What do returns to acquiring firms tell us? Evidence from firms that make many acquisitions. Journal of Finance, 57 (4), 1763-1793.Garrett, I., Kamstra, M., & Kramer, L. (2005). Winter blues and time variation in the price of risk. Journal of Empirical Finance, 12(2), 291-316.Gaughan, P. A. (2005). Mergers: what can go wrong and how to prevent it. John Wiley & Sons, Hoboken, N.J.Hirschleifer, D., & Shumway, T. (2003). Good day sunshine: Stock returns and the weather. Journal of Finance, 58(3), 1009-1032.Jarrell, G. A., Brickley, J. A., & Netter, J. M. (1988). The Market for Corporate Control: The Empirical Evidence Since 1980. Journal of Economic Perspectives, 2(1), 49-68.Jensen, M. C., & Ruback, R. S. (1983). The market for corporate control: the scientific evidence. Journal of Financial Economics, 11(1-4), 5-50.Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2003). Winter blues: a sad stock market cycle. American Economic Review, 93, 324-343.Kliger, D., & Kudryavtsev, A. (2014). Out of the blue: mood maintenance hypothesis and seasonal effects on investors’ reaction to news. Quantitative Finance, 14(4), 629-640Lin, M. (2015). Seasonal affective disorder and investors` response to earnings news. International Review of Financial Analysis, 42, 211-221.MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13-39.Molin, J., Mellerup, E., Bolwig, T., Scheike, T., & Dam, H. (1996). The influence of climate on development of winter depression. Journal of Affective Disorders, 37, 151-155.Morck, R., Shleifer, A., & Vishny, R. W. (1990). Do managerial objectives drive bad acquisitions? Journal of Finance, 45(1), 31-48.Rhodes-Kropf, M., & Viswanathan, S. (2004). Market valuation and merger waves. Journal of Finance, 59(6), 2685-2718.Rosenthal, N. (1998). Winter blues: Seasonal affective disorder: What it is, and how to overcome it. The Guilford Press.Saunders, E. (1993). Stock prices and Wall Street weather. American Economic Review, 83(5), 1337-1345.Symeonidis, L., Daskalakis, G., & Markellos, R. (2010). Does the weather affect stock market volatility? Finance Research Letters, 7(4), 214-223.Wong, A., & Carducci, B. J. (1991). Sensation seeking and financial risk taking in everyday money matters. Journal of Business and Psychology, 5(4), 525-530.Young, M., Meaden, P., Fogg, L., Cherin, E., & Eastman, C. (1997). Which environmental variables are related to the onset of seasonal affective disorder? Journal of Abnormal Psychology, 106(4), 554-562. 描述 碩士
國立政治大學
企業管理研究所(MBA學位學程)
106363041資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106363041 資料類型 thesis dc.contributor.advisor 周冠男 zh_TW dc.contributor.advisor Chou, Robin K. en_US dc.contributor.author (Authors) 黃韋綾 zh_TW dc.contributor.author (Authors) Huang, Wei-Ling en_US dc.creator (作者) 黃韋綾 zh_TW dc.creator (作者) Huang, Wei-Ling en_US dc.date (日期) 2019 en_US dc.date.accessioned 1-Jul-2019 11:12:34 (UTC+8) - dc.date.available 1-Jul-2019 11:12:34 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2019 11:12:34 (UTC+8) - dc.identifier (Other Identifiers) G0106363041 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124259 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 企業管理研究所(MBA學位學程) zh_TW dc.description (描述) 106363041 zh_TW dc.description.abstract (摘要) 本研究欲探討季節性情緒失調(Seasonal Affective Disorder，簡稱SAD)是否會影響投資人對於併購事件的反應。季節性情緒失調是一種好發於秋季和冬季的情緒失調，過去研究顯示SAD會導致投資人有風險趨避的傾向，進而造成股票報酬的季節性波動。由於併購事件的重大性及複雜性往往會讓投資人難以衡量並做出決策，因此假設投資人受到環境影響的情緒波動會對股市造成更顯著的影響。研究結果發現，併購事件中的收購公司及目標公司其股票報酬都會受到SAD效應影響，更確切地說，SAD變數和股票報酬呈現正相關，但只有在相對較長的事件期間下才會呈現顯著，實證結果意味著SAD對併購事件的影響可能會隨著事件期間拉長越來越顯著。 zh_TW dc.description.abstract (摘要) This study investigates whether the effect of seasonal affective disorder (SAD) will have an impact on investors’ response to merger and acquisition (M&A) events. Seasonal affective disorder is a mood disorder characterized by recurring depression in fall and winter. Prior studies have shown that the tendency of risk aversion caused by SAD leads to seasonal variation in stock returns. Given the fact that M&A is such a substantial and complicated event that makes investors more difficult to measure and make decisions, it is assumed that environment induced mood influence on the stock market can be more evident.Empirical results suggest that the stock returns of both acquirers and targets involved in M&A events have been affected by the effect of SAD. More specifically, there is a positive relationship between the SAD variable and stock returns, but only appears significant in a relatively longer event window. The empirical results imply that the influence of SAD on the M&A transactions may be more evident as the window period extends. en_US dc.description.tableofcontents 1. Introduction 12. Literature Review 52.1 Seasonal Affective Disorder 52.2 Mergers and Acquisitions 63. Research Design 93.1 Equity Data 93.2 Measurement of the SAD Effect 93.3 Regression Design 104. Empirical Results 144.1 Descriptive Statistics 144.2 Regressions of Stock Return on Acquiring Firms 144.3 Regressions of Stock Return on Target Firms 155. Conclusion 19References 20 zh_TW dc.format.extent 2289902 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106363041 en_US dc.subject (關鍵詞) 行為財務學 zh_TW dc.subject (關鍵詞) 季節性情緒失調 zh_TW dc.subject (關鍵詞) 併購事件 zh_TW dc.subject (關鍵詞) Behavioral finance en_US dc.subject (關鍵詞) Seasonal Affective Disorder en_US dc.subject (關鍵詞) Mergers and acquisitions en_US dc.title (題名) 季節性情緒失調和併購事件的相關性 zh_TW dc.title (題名) Relationship between Seasonal Affective Disorder and M&A events en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Andrade, G., Mitchell, M., & Stafford, E. (2001). New evidence and perspectives on mergers. Journal of Economic Perspectives, 15(2), 103-120.Bhabra, H. S. & Huang, J. (2013). An empirical investigation of mergers and acquisitions by Chinese listed companies, 1997-2007. Journal of Multinational Financial Management, 23, 186-207.Bouzgarrou, H., & Louhichi, W. (2014). Does the financing decision help to understand market reaction around mergers and acquisitions? Journal of Applied Business Research, 30(2), 465-478.Chang, S. (1998). Takeovers of privately held targets, methods of payment and bidder returns. Journal of Finance, 53, 773-784.Chang, S., Chen, S., Chou, R., & Lin, Y. (2008). Weather and intraday patterns in stock returns and trading activity. Journal of Banking & Finance, 32, 1754-1766.Dolvin, S., & Pyles, M. (2007). Seasonal affective disorder and the pricing of IPOs. Review of Accounting and Finance, 6(2), 214-228.Dolvin, S. D., Pyles, M. K., & Wu, Q. (2009). Analysts get SAD too: The effect of seasonal affective disorder on stock analysts` earnings estimates. Journal of Behavioral Finance, 10(4), 214-225.Eisenberg, A. E., Baron, J., & Seligman, M. E. P. (1998). Individual differences in risk aversion and anxiety. Working paper, Department of Psychology, University of Pennsylvania.Fuller, K., Netter, J., & Stegemoller, M. (2002). What do returns to acquiring firms tell us? Evidence from firms that make many acquisitions. Journal of Finance, 57 (4), 1763-1793.Garrett, I., Kamstra, M., & Kramer, L. (2005). Winter blues and time variation in the price of risk. Journal of Empirical Finance, 12(2), 291-316.Gaughan, P. A. (2005). Mergers: what can go wrong and how to prevent it. John Wiley & Sons, Hoboken, N.J.Hirschleifer, D., & Shumway, T. (2003). Good day sunshine: Stock returns and the weather. Journal of Finance, 58(3), 1009-1032.Jarrell, G. A., Brickley, J. A., & Netter, J. M. (1988). The Market for Corporate Control: The Empirical Evidence Since 1980. Journal of Economic Perspectives, 2(1), 49-68.Jensen, M. C., & Ruback, R. S. (1983). The market for corporate control: the scientific evidence. Journal of Financial Economics, 11(1-4), 5-50.Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2003). Winter blues: a sad stock market cycle. American Economic Review, 93, 324-343.Kliger, D., & Kudryavtsev, A. (2014). Out of the blue: mood maintenance hypothesis and seasonal effects on investors’ reaction to news. Quantitative Finance, 14(4), 629-640Lin, M. (2015). Seasonal affective disorder and investors` response to earnings news. International Review of Financial Analysis, 42, 211-221.MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13-39.Molin, J., Mellerup, E., Bolwig, T., Scheike, T., & Dam, H. (1996). The influence of climate on development of winter depression. Journal of Affective Disorders, 37, 151-155.Morck, R., Shleifer, A., & Vishny, R. W. (1990). Do managerial objectives drive bad acquisitions? Journal of Finance, 45(1), 31-48.Rhodes-Kropf, M., & Viswanathan, S. (2004). Market valuation and merger waves. Journal of Finance, 59(6), 2685-2718.Rosenthal, N. (1998). Winter blues: Seasonal affective disorder: What it is, and how to overcome it. The Guilford Press.Saunders, E. (1993). Stock prices and Wall Street weather. American Economic Review, 83(5), 1337-1345.Symeonidis, L., Daskalakis, G., & Markellos, R. (2010). Does the weather affect stock market volatility? Finance Research Letters, 7(4), 214-223.Wong, A., & Carducci, B. J. (1991). Sensation seeking and financial risk taking in everyday money matters. Journal of Business and Psychology, 5(4), 525-530.Young, M., Meaden, P., Fogg, L., Cherin, E., & Eastman, C. (1997). Which environmental variables are related to the onset of seasonal affective disorder? Journal of Abnormal Psychology, 106(4), 554-562. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900146 en_US
