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題名 機構投資人交易與主併公司購併宣告效果之關聯
Institutional Trading and Announcement Effect of Merger and Acquisition
作者 惠珉
貢獻者 吳啟銘
惠珉
關鍵詞 機構投資人
交易
購併
事件研究法
Institutional Investors
Trading
Merger and Acquisitions
Event Study
日期 2013
上傳時間 10-Feb-2014 14:48:12 (UTC+8)
摘要 隨著經濟走向自由化、國際化，且台灣亦公布企業購併法後，合併及收購等外部成長模式逐漸受到重視，而台灣證券交易市場目前資本來源比重也與過去以散戶為大宗的情況有別，近年來機構投資人交易扮演重要的角色，故本論文希冀探討機構投資人交易與台灣上市主併公司購併宣告效果的關聯。
本論文以台灣購併案件為探討對象，排除金融業相關案件，取樣自2003年至2012年間宣布購併的交易案件，以三大法人（外資法人、投信公司、證券自營商）為機構投資人代表，並且採用其每日買（賣）超股數占總流通股數比例做為交易指標，分別以市場模型及市場指數調整模型計算累積異常報酬率，探討機構投資人交易是否隱含對投資標的經營團隊品質的認證價值，進而反應在主併公司在（-1,+1）、（-2,+2）、（-3,+3）事件窗口下之購併宣告效果。
實證結果主要有以下幾點發現：首先，本研究發現三大法人累積淨買（賣）超與主併公司購併宣告累積異常報酬率在即期事件窗口（-1,+1）及（-2,+2）下均呈現顯著正向關係；第二，獲得三大法人累積淨買超之主併公司之購併宣告累積異常報酬率在（-1,+1）期間顯著高於三大法人累積淨賣超之主併公司，顯示機構投資人交易對主併公司經營團隊有品質認證價值；第三，三大法人中外資法人累積淨買（賣）超與主併公司購併宣告效果有顯著正向影響，而投信公司、證券自營商則與主併公司購併宣告後累積異常報酬率無顯著關係。
This study investigates the relationship between institutional trading and the announcement effect of merger and acquisition. The research is based on acquiring firms listed in Taiwan which announced merger and acquisition between 2003 and 2012. We use cumulative net buying of three representative institutional investors including foreign institutions, mutual funds, and brokers to examine acquirer’s short-run stock performance around the announcement of merger and acquisition. First, the results indicate that cumulative net buying of total institutional investors is positively related to the short-run stock performance of acquirers. Second, acquirers with increase in institutional holdings prior to the merger and acquisition have better short-run stock performance than acquirers with decrease in institutional holdings. Third, the relationship between cumulative net buying of foreign institutions and the announcement effect of acquirers is significantly positive while cumulative net buying of mutual funds or brokers has no significant relationship with the short-run stock performance of acquirers.
參考文獻 國內文獻
1. 何秉珊(2009)，「從機構投資人持股變動檢驗主併公司購併後績效表現之相關性」，國立中正大學財務金融所碩士論文。
2. 呂佳玲、林基煌(2008)，「家族企業公司治理, 購併策略與績效之探討 Corporate Governance, Diversification Strategy in Mergers and Acquisitions and Performances for Taiwanese Family Firms」，亞太經濟管理評論 11(2): 107-134。
3. 李麗虹(2011)，「機構投資人持股變化與主併公司績效之研究」，臺灣大學財務金融學研究所碩士論文。
4. 洪宏達(2003)，「購併活動對主併公司經營績效之影響—以臺灣上市公司為例」，國立中山大學財務管理學系研究所碩士論文。
5. 洪麗惠(1995)，「購併宣告對股東財富的影響：Jensen閒餘現金流量與Tobin`s Q兩假說之驗證」，東吳大學管理科學研究所碩士論文。
6. 孫梅瑞(2000)，「國內上市公司從事公司購併活動對經營績效影響之研究」，國立政治大學企業管理學系博士班博士論文。
7. 許家蓉(2009)，「比較外資與國內法人機構發布推薦報告前後之資訊內涵、交易行為及對投資人的影響」，國立政治大學財務管理研究所碩士論文。
8. 陳彥豪(2002)，「外資與投信法人持股比率變化對股價報酬率影響之研究─以上市電子股為例」，國立中山大學財務管理學系研究所碩士論文。
9. 曾友弦(1995)，「外資買賣前後股價行為之研究」，國立中央大學財務管理學系碩士論文。
10. 鄭至宏(1995)，「從內部化理論與代理理論探討臺灣企業購併活動之股價效果」，私立輔仁大學管理科學研究所碩士論文。
11. 蕭惠元(1996)，「購併活動對股價行為與會計資訊之影響─以上市公司為例」，私立東吳大學會計學系碩士論文。
12. 謝惠貞(1997)，「購併活動對國內上市主併公司價值影響之研究」，國立台灣大學會計學系碩士論文。

國外文獻
1. Almazan, A., et al. (2005). "Active institutional shareholders and costs of monitoring: Evidence from executive compensation." Financial management 34(4): 5-34.
2. Andrade, G., et al. (2001). "New evidence and perspectives on mergers."
3. Ashraf, R. and N. Jayaraman (2007). "Institutional investors’ trading behavior in mergers and acquisitions." SSRN eLibrary.
4. Asquith, P., et al. (1983). "The gains to bidding firms from merger." Journal of Financial Economics 11(1): 121-139.
5. Badrinath, S. G., et al. (1995). "Of shepherds, sheep, and the cross-autocorrelations in equity returns." Review of Financial Studies 8(2): 401-430.
6. Ball, R. and P. Brown (1968). "An empirical evaluation of accounting income numbers." Journal of accounting research: 159-178.
7. Brickley, J. A., et al. (1988). "Ownership structure and voting on antitakeover amendments." Journal of Financial Economics 20: 267-291.
8. Brown, S. J. and J. B. Warner (1980). "Measuring security price performance." Journal of Financial Economics 8(3): 205-258.
9. Cai, J. and A. M. Vijh (2007). "Incentive effects of stock and option holdings of target and acquirer CEOs." The Journal of Finance 62(4): 1891-1933.
10. Capron, L. and J. C. Shen (2007). "Acquisitions of private vs. public firms: Private information, target selection, and acquirer returns." Strategic Management Journal 28(9): 891-911.
11. Chan, L. K., et al. (1991). "Fundamentals and Stock Returns in Japan." Journal of Finance: 1739-1764.
12. Chang, S. (1998). "Takeovers of privately held targets, methods of payment, and bidder returns." The Journal of Finance 53(2): 773-784.
13. Chen, A.-S. and B.-S. Hong (2006). "Institutional ownership changes and returns around analysts’ earnings forecast release events: Evidence from Taiwan." Journal of Banking & Finance 30(9): 2471-2488.
14. Chen, X., et al. (2007). "Monitoring: Which institutions matter?" Journal of Financial Economics 86(2): 279-305.
15. Conn, R. L., et al. (2005). "The impact on UK acquirers of domestic, cross‐border, public and private acquisitions." Journal of Business Finance & Accounting 32(5‐6): 815-870.
16. Corhay, A. and A. T. Rad (2000). "International acquisitions and shareholder wealth Evidence from the Netherlands." International Review of Financial Analysis 9(2): 163-174.
17. Fama, E., et al. (1969). "The adjustment of stock prices to new information." International economic review 10.
18. Gaspar, J.-M., et al. (2005). "Shareholder investment horizons and the market for corporate control." Journal of Financial Economics 76(1): 135-165.
19. Goergen, M. and L. Renneboog (2004). "Shareholder Wealth Effects of European Domestic and Cross‐border Takeover Bids." European Financial Management 10(1): 9-45.
20. Grossman, S. J. and O. D. Hart (1980). "Takeover bids, the free-rider problem, and the theory of the corporation." The Bell Journal of Economics: 42-64.
21. Harford, J. (1999). "Corporate cash reserves and acquisitions." The Journal of Finance 54(6): 1969-1997.
22. Healy, P. M., et al. (1992). "Does corporate performance improve after mergers?" Journal of Financial Economics 31(2): 135-175.
23. Jarrell, G. A. and A. B. Poulsen (1989). "The returns to acquiring firms in tender offers: Evidence from three decades." Financial management: 12-19.
24. Jensen, M. C. (1988). "Takeovers: Their causes and consequences." The Journal of Economic Perspectives 2(1): 21-48.
25. Jensen, M. C. and W. H. Meckling (1976). "Theory of the firm: Managerial behavior, agency costs and ownership structure." Journal of Financial Economics 3(4): 305-360.
26. Jensen, M. C. and R. S. Ruback (1983). "The market for corporate control: The scientific evidence." Journal of Financial Economics 11(1): 5-50.
27. Kahn, C. and A. Winton (1998). "Ownership structure, speculation, and shareholder intervention." The Journal of Finance 53(1): 99-129.
28. Kisgen, D. J. and W. Song (2009). "Are fairness opinions fair? The case of mergers and acquisitions." Journal of Financial Economics 91(2): 179-207.
29. Koeplin, J., et al. (2000). "The private company discount." Journal of Applied Corporate Finance 12(4): 94-101.
30. Kraus, A. and H. R. Stoll (1972). "Price impacts of block trading on the New York Stock Exchange." The Journal of Finance 27(3): 569-588.
31. Lamont, O. A. and C. Polk (2002). "Does diversification destroy value? Evidence from the industry shocks." Journal of Financial Economics 63(1): 51-77.
32. Lang, L. H., et al. (1991). "A test of the free cash flow hypothesis: The case of bidder returns." Journal of Financial Economics 29(2): 315-335.
33. Loderer, C. and K. Martin (1990). "Corporate acquisitions by listed firms: The experience of a comprehensive sample." Financial management: 17-33.
34. Malkiel, B. G. and E. F. Fama (1970). "Efficient Capital Markets: A Review Of Theory And Empirical Work*." The Journal of Finance 25(2): 383-417.
35. Mantecon, T. (2009). "Mitigating risks in cross-border acquisitions." Journal of Banking & Finance 33(4): 640-651.
36. Martin, K. J. (1996). "The method of payment in corporate acquisitions, investment opportunities, and management ownership." The Journal of Finance 51(4): 1227-1246.
37. Martynova, M. and L. Renneboog (2008). "A century of corporate takeovers: What have we learned and where do we stand?" Journal of Banking & Finance 32(10): 2148-2177.
38. Megginson, W. L., et al. (2004). "The determinants of positive long-term performance in strategic mergers: Corporate focus and cash." Journal of Banking & Finance 28(3): 523-552.
39. Modigliani, F. and M. H. Miller (1958). "The cost of capital, corporation finance and the theory of investment." The American economic review 48(3): 261-297.
40. Moeller, S. B., et al. (2004). "Firm size and the gains from acquisitions." Journal of Financial Economics 73(2): 201-228.
41. Moeller, S. B., et al. (2005). "Wealth destruction on a massive scale? A study of acquiring‐firm returns in the recent merger wave." The Journal of Finance 60(2): 757-782.
42. Nofsinger, J. R. and R. W. Sias (1999). "Herding and feedback trading by institutional and individual investors." The Journal of Finance 54(6): 2263-2295.
43. Parrino, R., et al. (2003). "Voting with their feet: institutional ownership changes around forced CEO turnover." Journal of Financial Economics 68(1): 3-46.
44. Puckett, A. and X. S. Yan (2008). "Short-term institutional herding and its impact on stock prices." Available at SSRN 972254.
45. Raghavendra Rau, P. and T. Vermaelen (1998). "Glamour, value and the post-acquisition performance of acquiring firms." Journal of Financial Economics 49(2): 223-253.
46. Schulman, C. T., et al. (1996). "Effects of tax integration and capital gains tax on corporate leverage." National Tax Journal 49: 31-54.
47. Stein, J. C. (2003). "Agency, information and corporate investment." Handbook of the Economics of Finance 1: 111-165.
48. Szewczyk, S. H., et al. (1992). "Institutional ownership and the liquidity of common stock offerings." Financial Review 27(2): 211-225.
49. Travlos, N. G. (1987). "Corporate takeover bids, methods of payment, and bidding firms` stock returns." The Journal of Finance 42(4): 943-963.
50. Wansley, J. W., et al. (1983). "Abnormal returns to acquired firms by type of acquisition and method of payment." Financial management: 16-22.
描述 碩士
國立政治大學
財務管理研究所
101357011
102
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1013570111
資料類型 thesis
dc.contributor.advisor 吳啟銘zh_TW
dc.contributor.author (Authors) 惠珉zh_TW
dc.creator (作者) 惠珉zh_TW
dc.date (日期) 2013en_US
dc.date.accessioned 10-Feb-2014 14:48:12 (UTC+8)-
dc.date.available 10-Feb-2014 14:48:12 (UTC+8)-
dc.date.issued (上傳時間) 10-Feb-2014 14:48:12 (UTC+8)-
dc.identifier (Other Identifiers) G1013570111en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/63650-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 101357011zh_TW
dc.description (描述) 102zh_TW
dc.description.abstract (摘要) 隨著經濟走向自由化、國際化，且台灣亦公布企業購併法後，合併及收購等外部成長模式逐漸受到重視，而台灣證券交易市場目前資本來源比重也與過去以散戶為大宗的情況有別，近年來機構投資人交易扮演重要的角色，故本論文希冀探討機構投資人交易與台灣上市主併公司購併宣告效果的關聯。
本論文以台灣購併案件為探討對象，排除金融業相關案件，取樣自2003年至2012年間宣布購併的交易案件，以三大法人（外資法人、投信公司、證券自營商）為機構投資人代表，並且採用其每日買（賣）超股數占總流通股數比例做為交易指標，分別以市場模型及市場指數調整模型計算累積異常報酬率，探討機構投資人交易是否隱含對投資標的經營團隊品質的認證價值，進而反應在主併公司在（-1,+1）、（-2,+2）、（-3,+3）事件窗口下之購併宣告效果。
實證結果主要有以下幾點發現：首先，本研究發現三大法人累積淨買（賣）超與主併公司購併宣告累積異常報酬率在即期事件窗口（-1,+1）及（-2,+2）下均呈現顯著正向關係；第二，獲得三大法人累積淨買超之主併公司之購併宣告累積異常報酬率在（-1,+1）期間顯著高於三大法人累積淨賣超之主併公司，顯示機構投資人交易對主併公司經營團隊有品質認證價值；第三，三大法人中外資法人累積淨買（賣）超與主併公司購併宣告效果有顯著正向影響，而投信公司、證券自營商則與主併公司購併宣告後累積異常報酬率無顯著關係。		zh_TW
dc.description.abstract (摘要) This study investigates the relationship between institutional trading and the announcement effect of merger and acquisition. The research is based on acquiring firms listed in Taiwan which announced merger and acquisition between 2003 and 2012. We use cumulative net buying of three representative institutional investors including foreign institutions, mutual funds, and brokers to examine acquirer’s short-run stock performance around the announcement of merger and acquisition. First, the results indicate that cumulative net buying of total institutional investors is positively related to the short-run stock performance of acquirers. Second, acquirers with increase in institutional holdings prior to the merger and acquisition have better short-run stock performance than acquirers with decrease in institutional holdings. Third, the relationship between cumulative net buying of foreign institutions and the announcement effect of acquirers is significantly positive while cumulative net buying of mutual funds or brokers has no significant relationship with the short-run stock performance of acquirers.en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究背景及動機 1
第二節 研究目的與貢獻 5
第三節 研究架構 6
第二章 文獻回顧及假說推導 7
第一節 企業購併與股東財富 7
第二節 機構投資人與企業購併 11
第三章 研究設計 15
第一節 資料來源 15
第二節 樣本選取標準 16
第三節 事件研究法 18
第四節 複迴歸分析 21
第五節 變數定義 22
第四章 實證結果分析 29
第一節 累積異常報酬率統計檢定分析 29
第二節 複迴歸結果分析 30
第五章 結論與建議 38
第一節 研究結論 38
第二節 研究限制 39
第三節 後續研究建議 39
參考文獻 41
附表 45		zh_TW
dc.format.extent 757626 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1013570111en_US
dc.subject (關鍵詞) 機構投資人zh_TW
dc.subject (關鍵詞) 交易zh_TW
dc.subject (關鍵詞) 購併zh_TW
dc.subject (關鍵詞) 事件研究法zh_TW
dc.subject (關鍵詞) Institutional Investorsen_US
dc.subject (關鍵詞) Tradingen_US
dc.subject (關鍵詞) Merger and Acquisitionsen_US
dc.subject (關鍵詞) Event Studyen_US
dc.title (題名) 機構投資人交易與主併公司購併宣告效果之關聯zh_TW
dc.title (題名) Institutional Trading and Announcement Effect of Merger and Acquisitionen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 國內文獻
1. 何秉珊(2009)，「從機構投資人持股變動檢驗主併公司購併後績效表現之相關性」，國立中正大學財務金融所碩士論文。
2. 呂佳玲、林基煌(2008)，「家族企業公司治理, 購併策略與績效之探討 Corporate Governance, Diversification Strategy in Mergers and Acquisitions and Performances for Taiwanese Family Firms」，亞太經濟管理評論 11(2): 107-134。
3. 李麗虹(2011)，「機構投資人持股變化與主併公司績效之研究」，臺灣大學財務金融學研究所碩士論文。
4. 洪宏達(2003)，「購併活動對主併公司經營績效之影響—以臺灣上市公司為例」，國立中山大學財務管理學系研究所碩士論文。
5. 洪麗惠(1995)，「購併宣告對股東財富的影響：Jensen閒餘現金流量與Tobin`s Q兩假說之驗證」，東吳大學管理科學研究所碩士論文。
6. 孫梅瑞(2000)，「國內上市公司從事公司購併活動對經營績效影響之研究」，國立政治大學企業管理學系博士班博士論文。
7. 許家蓉(2009)，「比較外資與國內法人機構發布推薦報告前後之資訊內涵、交易行為及對投資人的影響」，國立政治大學財務管理研究所碩士論文。
8. 陳彥豪(2002)，「外資與投信法人持股比率變化對股價報酬率影響之研究─以上市電子股為例」，國立中山大學財務管理學系研究所碩士論文。
9. 曾友弦(1995)，「外資買賣前後股價行為之研究」，國立中央大學財務管理學系碩士論文。
10. 鄭至宏(1995)，「從內部化理論與代理理論探討臺灣企業購併活動之股價效果」，私立輔仁大學管理科學研究所碩士論文。
11. 蕭惠元(1996)，「購併活動對股價行為與會計資訊之影響─以上市公司為例」，私立東吳大學會計學系碩士論文。
12. 謝惠貞(1997)，「購併活動對國內上市主併公司價值影響之研究」，國立台灣大學會計學系碩士論文。

國外文獻
1. Almazan, A., et al. (2005). "Active institutional shareholders and costs of monitoring: Evidence from executive compensation." Financial management 34(4): 5-34.
2. Andrade, G., et al. (2001). "New evidence and perspectives on mergers."
3. Ashraf, R. and N. Jayaraman (2007). "Institutional investors’ trading behavior in mergers and acquisitions." SSRN eLibrary.
4. Asquith, P., et al. (1983). "The gains to bidding firms from merger." Journal of Financial Economics 11(1): 121-139.
5. Badrinath, S. G., et al. (1995). "Of shepherds, sheep, and the cross-autocorrelations in equity returns." Review of Financial Studies 8(2): 401-430.
6. Ball, R. and P. Brown (1968). "An empirical evaluation of accounting income numbers." Journal of accounting research: 159-178.
7. Brickley, J. A., et al. (1988). "Ownership structure and voting on antitakeover amendments." Journal of Financial Economics 20: 267-291.
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