槓桿收購報酬、波動性與買賣單不平衡之研究

Abstract

槓桿收購自從1980年起的大量併購案就被視為公司理財中受爭議的主題之一，學者們做了許多研究關於槓桿收購前後的報酬關係，並從中發現了在槓桿收購中存在許多的內線交易者，他們因為相對其他人有較多的資訊，並可以利用他們的私有資訊在市場上獲取超額報酬。因此，本研究想利用買賣單不平衡去預測這些資訊優勢者的行為，且觀察買賣都不平衡與波動性的關係，並更進一步做出一套交易策略能跟著他們的交易行為而得到超額報酬。 我們的研究結果發現當期的買賣單不平衡對當期報酬有顯著的正影響效果；前一期的買賣單不平衡對當期報酬在不考慮當其買賣單不平衡情況下，也有顯著的正影響效果。但若考慮當期後，前期的買賣單不平衡對當期報酬的影響則轉變成負相關。 接著我們利用我們的樣本檢測是否存在小公司效應。然而，我們的結果卻顯示不出顯著的效果，因此我們無法論定我們的樣本是否存在小公司效應。我們接著利用GARCH(1,1)模型去檢視波動性與買賣單不平衡的關係，雖然有小部份的公司結果顯示出買賣單不平衡的量與股價波動性存在正相關的關係，但比例卻不足以支持此論點。因此我們認為公司在槓桿收購發布的當天，造市者有能力控制股價穩定而不致於造成股價大幅波動。 最後，我們利用我們在之前得到的買賣單不平衡與股價報酬的關係，進而形成我們的交易策略試圖得到正報酬甚至是打敗槓桿收購公司發布訊息當天的原始報酬。然而，我們的結果顯示雖然報酬率為正值但仍然無法打敗原始報酬。

關鍵字:槓桿收購、買賣單不平衡

Leveraged buy-out has been a debated topic in finance since 1980’s, as a number of research on the return before and after LBO events. Many researches also find that there are insiders during LBO process. In this paper, we want to use order imbalances to capture some information asymmetric on the LBO events date. We want to examine the relations between order imbalances, volatility and stock returns. Then, we try to find the predictability. Finally, we develop a trading strategy and see if it can earn profits. Our empirical results show that the contemporaneous order imbalances have a significantly positive impact on current returns, and the lagged-one order imbalances also have a significantly positive impact on current returns disregarding the contemporaneous order imbalances. But when we condition on the contemporaneous imbalances, the impact of the lagged-one imbalances on returns turns to be negative. Then, we want to test if there is a small firm effect on our data. However, the relation is not significant, thus we can’t say the small firm effect exist from our test. In addition, we examine the relation between volatility and order imbalances by GARCH(1,1) model. The relation is not strong, suggesting that the market makers have good ability to control the price movement of LBO firms on the events date. Finally, we develop a trading strategy and wish it can make profits. This strategy can earn positive profits but still cannot beat the original open-to-close returns. Key Words: Leveraged-buyout、Order Imbalance