台灣市場股價評價、合併溢價與購併報酬之探討

Abstract

本文主要是探討主被併公司評價相對高低估與購併溢價、購併期間異常報酬及市值變化之關係，所使用之樣本為2000至2006年間臺灣的購併案例。以本益比及股價淨值比作為錯誤評價之代理變數，由主併公司與被併公司的角度，分別檢視評價高低所產生之影響。 實證結果發現，評價高估之主併公司有給付較高購併溢價之傾向；而評價低估之被併公司有得到較高購併溢價之傾向，此現象在使用股價淨值比時尤其顯著。據以往研究顯示，主併公司併後之異常報酬通常為負而被併公司通常為正，本研究之樣本亦顯現此情況，故本研究檢視主被併公司宣告日前後之市值變化，發現整體樣本之市值變化不顯著大於零，推斷有股東財富移轉之可能存在。此外，本研究亦試圖找出影響購併溢價、購併期間異常報酬及市值變化之重要因素，發現公司評價變數及主被併公司規模比會影響購併溢價。而影響公司異常報酬之重要因素包含購併溢價、主併公司營運表現、被併公司治理與評價；影響市值變化之重要因素包含購併溢價、主被併公司營運表現、被併公司治理與評價。

I investigate how misevaluation of acquirers and targets relate to the bid premium and announcement period abnormal returns. For the sample of 55 completed merger and acquisition cases during the period from 2000 to 2006 in the Taiwanese market, I use price to earnings ratio and price to book value ratio as proxies of misevaluation, to examine whether there is any difference between highly-valued and lowly-valued firms. The main result is that undervalued targets tend to be offered more bid premiums and overvalued acquirers tend to give more bid premiums. I also calculate the market value change of the acquirer and the target. I find that the total market value change is not significantly different from zero while abnormal returns of the acquirer is negative and that of the target is positive, so shareholder wealth transfer may exists. The detailed analysis suggests that valuation ratios dominate operating performance and cash flow in explaining the bid premium. Another finding is that corporate governance indeed can explain the announcement period abnormal returns and market value change.