特殊目的收購公司風險因子揭露對合併後市場反應之影響

Abstract

隨特殊目的收購公司(SPAC)近年興起，現有文獻多聚焦於 SPAC 架構設計等議題，對風險因子揭露的資訊價值及其對合併後股價報酬影響缺乏探討。因此，本研究以2016 至2023 年間美國完成合併的 503 件SPAC 為樣本，運用文本分析量化股東會委託書風險因子揭露程度，檢視其對合併後市場反應的影響。市場反應指標為合併完成後目標公司一年之買進持有異常報酬和報酬波動率，以衡量風險因子揭露對市場長期股價表現與波動程度之影響。 實證結果顯示，風險因子揭露程度愈高，SPAC合併後一年買進持有異常報酬顯著偏低，顯示揭露內容具有資訊價值，投資人在接收到風險資訊後調整預期，進而影響股價表現。此外，風險因子揭露程度與報酬波動率呈顯著正相關，反市市場對風險資訊的解讀分歧擴大，進而提升合併後公司股價之波動幅度。 綜合而言，本研究發現SPAC股東會委託書中的風險因子揭露具有資訊價值，與合併後市場反應存在一定關聯，為投資人評估公司價值與風險提供參考。

With the recent rise of Special Purpose Acquisition Companies (SPACs), existing literature has largely focused on structural design aspects. The informativeness of risk factor disclosures in proxy statements and their impact on post-merger stock performance remains underexplored. This study investigates the relation between risk factor disclosures in SPACs’ proxy statements and the stock performance over post-merger periods, using a sample of 503 SPACs that completed mergers in the United States between 2016 and 2023. I employ textual analysis to quantify the extent of risk factor disclosure and examine its influence on market reactions, measured by the one-year buy-and-hold abnormal return (BHAR) and return volatility (RETVOL) of the post-merger target company, capturing the long-term stock return and price volatility associated with risk factor disclosures. Empirical results show that higher levels of risk factor disclosure are significantly associated with lower BHAR in the year following the merger, indicating that risk factor disclosures are informative, as investors adjust their expectations in response to the disclosed information, which is subsequently incorporated into stock returns. Additionally, risk factor disclosure is positively related with RETVOL, suggesting that more extensive disclosure leads to greater investor disagreement and increased price volatility. In conclusion, this study finds that risk factor disclosures in SPACs’ proxy statements possess informational value and are associated with post-merger market reactions, providing valuable insights for investors when evaluating firm value and risk.