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標題: | 購併的市場資訊對股東財富造成的影響-以金融控股公司為例 |
作者: | Pei-Wen Cheng 程珮雯 |
指導教授: | 劉啟群(Chi-Chun Liu) |
關鍵字: | 購併,市場資訊,金控公司, M&A,Market Information,BHC, |
出版年 : | 2005 |
學位: | 碩士 |
摘要: | 我國於加入WTO後,金融競爭之生態改變,各類金融業者除了合併同業追求規模經濟外,更紛紛尋求異業結合以面對外來金融機構國際化、多元化競爭之威脅。本研究即藉由探討金融控股公司於購併相關事件之資訊宣告時,市場所給予的反應,來瞭解投資人對雙方公司購併完成機率的變化、綜效的觀點、及綜效分配的預期這三者間的連結;研究投資人對金控公司購併消息的宣告抱持著何種態度,藉此瞭解我國投資大眾對政府近年來推動的金融整併政策暨相關法令制度之建置是否具有信心;探討購併宣告對股票價格的資訊效果,並反應股市投資人面對各事件日之敏感性。
本研究將各家金控公司在整個購併過程中所經歷之重大、且共同性高的日期皆列為本研究的事件日,並將各日期歸納整理為共計12類的事件日。此外對各類事件日分別採用Raw Return、Market Adjusted Model、Market Adjusted Model-Industry、及Market Model等4種模型,與3天及5天兩種長度之事件窗口加以研究,目的即希望能將由市場因素所造成的報酬排除於異常報酬之外,並判斷是否有購併資訊提前洩漏之可能性。再者對同一事件兩種長度之事件窗口,分別進行4種模型下之雙尾T統計顯著性檢定、及符號檢定,故每一樣本事件日均有10種檢定,以探討購併的市場資訊對股東財富造成的影響。 本研究為以下幾點提供了實證與說明: 一、主併公司的各購併事件宣告效果。無論是3天或是5天之事件窗口長度,主併公司各類購併相關事件期內之異常報酬均不顯著。此結果與預期相符,究其原因,一為市場消息之提前洩漏,二為市場往往易覺得主併公司所付出之購併成本與換股比例過高,不看好主併公司故沒有明顯反應。此外各模型之累積異常報酬通常在事件窗口長度為5天時比3天時為大,顯示了市場對購併相關事件之反應期間拉長,為購併資訊可能提前洩漏提供了證據。 二、目標公司的各購併事件宣告效果。除了少數幾類事件外,其餘各類購併事件之發生,均對目標公司股東財富造成顯著的影響,於購併相關宣告日左右發現顯著正向之異常報酬。表示市場一般均認為購併相關事件之發生可意味著目標公司合併完成機率的上升,且在購併案中所產生之綜效及綜效之分配上目標公司常為受益方,合併後將更有能力面對台灣加入WTO後國際化金融競爭之威脅。 三、購併事件之宣告就整體而言是否能視為一項好消息之公佈。對主併公司而言雖不顯著偏向正或負任何一方,然而對目標公司而言,各類購併事件期內常出現顯著為正向之反應。上述檢定結果反映了國內投資人對金控公司的合併抱持正面的態度,並對政府近年來推動的金融整併政策具有信心,相信金融機構於整併後將更有助於其競爭力及我國金融政策之發展。 四、不同研究模型的選擇所帶來的結果之不同。通常在Market Adjusted Model與Market Adjusted Model-Industry此二模型下之累積異常報酬不如在其他兩個模型下來的顯著,此結果顯示該段事件期間內之報酬可能有部分是來自於市場表現的反應,而不是由購併事件所產生。 Since the moment that Taiwan participated in the WTO, the financial competition environment has been subjected to change. Therefore, the financial industry does not only start to pursue economy of scale by merger within industry but seek to combine with different industries as well in order to confront the threat of globalization and diversification. First, by observing the effect of merger information announcement corresponding to the M&A transactions, this research seeks the links among probability of M&A success, value of synergy, and distribution of synergy. Second, by discussing how investors view toward merger information announcement, it reveals whether investors are confident with recent regulation of financial integration strategy. Furthermore, it also considers the effect of merger information announcement to the stock price and the sensitivity of event dates. This research induced twelve different event dates from the important and highly related ones during the process of M&A events. Besides, to exclude the market factors from abnormal return, each event date is measured by four different models including Raw Return Model, Market Adjusted Model, Market Adjusted Model-Industry, and Market Model. It is also measured by two different event windows, three days and five days, to judge if there is any possible information leak. Under the measurement of different models and event windows, this research applied Brown & Warner (1985) Two-Tailed T Test and Sign Test to evaluate the significance of abnormal return and to discuss the influence of merger information announcement on the wealth of shareholders. The results of this research provide explanation and evidence on 1) the effect of merger information announcement for acquiring firm, 2) the effect of merger information announcement for acquired firm, 3) whether the merger information announcement can be viewed as positive information to the market, and 4) comparison of outcomes between different models. In this research, acquiring firm abnormal returns for both event windows are found to be insignificant; an outcome perfectly coincides with the anticipation. There are two possible reasons that could be posted to explain the outcome. For the first, the information leak is supposed to exist. For the second, the acquisition cost and exchange ratio are always higher than market anticipation. In addition, it can be concluded that abnormal return for five days is slightly larger than that for three days. This conclusion supports the previous explanation that the information leak actually exists. Besides few exceptions, almost all merger announcements influenced the wealth of shareholders in acquired firms significantly. We can observe that positive abnormal returns are prevailing around the time of a merger information announcement. Therefore, it is quite sure to infer that the market always views the acquired firms as beneficiaries and considers them to be more eligible for confronting the threat stemmed from international competition. For acquiring firms, most events seem to be neutral. However, positive influences are found in many events for acquired firms. These outcomes reveal that investors viewed the M&A events of bank holding companies as positive and felt confident with recent regulation of financial integration strategy. It is firmly believed that the integration of financial institutions helps to improve the development of financial strategy. Usually, the outcomes of both Market Adjusted Model and Market Adjusted Model-Industry seem less significant than those of the other two models. Thus, we can conclude that the so-called abnormal return might not be caused simply by the M&A events but came from the reaction to overall market performance. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38914 |
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