主併者併購溢價與股票報酬之二次方關係

Abstract

現有文獻針對主併者併購宣告後的異常報酬呈兩派說法，一為綜效假說，認為併購溢價為未來綜效表現的代理變數，因此主併者併購溢價將與其股票報酬呈現正向關係；二為過度支付假說，以反向觀點認為主併者支付溢價與其股票報酬呈現負向關係。本文假設兩種假說可能並存，因此提出溢價與主併者併購後短期股價異常報酬間的二次方關係。 本文研究主併者為美國上市公司且宣告期間發生於1993年至2007年間共計2148件併購案，並將樣本依正負溢價與熊牛市切割，欲探討在不同市場趨勢下投資人對於折溢價併購所支付溢價幅度之差別反應。實證結果發現，針對支付正溢價的主併公司，溢價與異常報酬首先呈現負向關係符合過度支付假說，直到併購溢價幅度達約101%時，溢價與異常報酬開始呈現正向關係，而此幅度在牛市時較低，在熊市時較高；另一方面，支付負溢價的主併公司，則在-33%至0%的負溢價區間內呈現溢價與異常報酬之正向關係，此區間在熊市時擴大，然在研究牛市時溢價幅度不具顯著性。

According to existing literature, the synergy hypothesis considers the merger premium to be positively correlated with the acquirer’s returns; on the other hand, the overpayment hypothesis states the opposite. In this paper, we suggest a quadratic relationship between merger premiums and short-run abnormal returns of acquirers, a possible mixture of the two hypotheses. We analyze 2148 M&As from 1993 to 2007 in the United States. To ascertain the results, we divide the sample into different groups, positive premium, negative premium, bull markets and bear markets and find that for positive premium cases, the overpayment hypothesis generally prevails, but when the magnitude of the premium rises over 101%, the synergy hypothesis manifests, and this magnitude is lower in bull markets and higher in bear markets; on the other hand, synergy hypothesis can be observed within merger premiums between -33% and 0% for operations with negative premiums, and this range is wider in bear markets but not clear in bull markets.