併購宣告對併購雙方公司債報酬之影響

Abstract

本篇論文以2000年後的美國企業併購案資料，檢視併購宣告對於併購和被併購企業之公司債報酬的影響。主要研究結果為併購企業公司債有顯著的負超額報酬，而被併購企業公司債則有顯著的正超額報酬。當經評等為投資等級、資產風險增加、到期期間較目標公司長、以及當目標公司規模較小時，併購公司債有顯著負超額報酬。另一方面，被併購公司債經歷顯著正超額報酬的情境為評等低於投資等級、槓桿比例下降、以及到期期間較短。研究方法採用無母數分析及多元回歸分析。本文主要貢獻在於發現併購雙方2009年前債券報酬均較其後為高，以及，交易溢價有助提升被併購公司債報酬，對併購企業則有顯著負面影響。

This paper examines the effects of mergers and acquisitions announcements on the acquirers and the targets corporate bond returns with evidence from the US market after the year 2000. The major finding is that acquirer bonds as a whole exhibited significant negative excess returns, while target bonds exhibited significant positive excess returns. Notably, acquirer bonds experienced excess loss when they are rated investment grade, when the firm asset risk increases, when the maturity is longer than that of targets, and when the targets are small. On the other hand, target bonds fared better when they are below investment grade, when the leverage decreases, and when they have shorter maturity. Both nonparametric analysis and multivariate regression analysis are adopted. The major contribution of this paper is that bond return before 2009 are higher than those after and that transaction premiums benefit target bonds but cause significant losses to acquirers.