併購宣告效果實證研究：以中國併購企業為例

Abstract

本論文利用事件研究法探討中國企業在不同證交所進行國內併購與跨國併購時，股價於短期內是否有異常報酬。實證結果發現上海證交所上市的中國企業在進行國內併購時，無論是屬於同產業內的併購或是不同產業間的併購，在併購宣告日附近，股價於短期內都有顯著且大於零的異常報酬；於深圳證交所上市的中國企業在進行國內併購時，並無顯著累積異常報酬，但是事件期內的不顯著異常報酬多半小於零。另外，以併購宣告後事件期的累積異常報酬來看，於上海證交所上市的中國企業在進行國內併購時，無論是屬於同產業內的併購或是不同產業間的併購，在事件期(0,1)都有顯著大於零的累積異常報酬；於深圳證交所上市的中國企業在進行國內併購時，於併購宣告後都有負向的累積異常報酬，尤其併購企業若與目標公司屬於同產業，於事件期間第0日至第14日，有顯著累積異常報酬-1.9155%。 在跨國併購方面，我們由不顯著的累積異常報酬可看出，於上海證交所上市的中國企業進行跨國併購的累積異常報酬率，較於深圳證交所上市的中國企業進行跨國併購的累積異常報酬率來的高，礙於樣本數不足的關係，無法以嚴謹的統計檢定來推論我們分析的資料，但是這樣的趨勢可供未來研究者一個參考。

In this paper, we use event study to discuss the announcement effects of China enterprises’ M&As. The empirical results show that Shanghai Stock Exchange-listed China enterprises which engage in domestic M&As, whether the acquiring firm and the target firm are in the same industry or among different industries, have significantly positive cumulative abnormal returns near the announcement date. While the Shenzhen Stock Exchange-listed Chinese enterprises which engage in domestic M&As, have no significant cumulative abnormal returns. Besides, considering the cumulative abnormal returns after the announcement date, the Shanghai Stock Exchange-listed Chinese enterprises which engage in domestic M&As, whether the acquiring firm and the target firm are in the same industry or among different industries, have significantly positive cumulative abnormal returns in the event window (0,1). While the Shenzhen Stock Exchange-listed Chinese enterprises which engage in domestic M&As, have negative cumulative abnormal returns in the event window (0,1). Especially, if the acquiring firm and the target firm are in the same industry, in the event window (0,14), there are significantly negative cumulative abnormal returns -1.9155%. Considering the cross-border M&As, the insignificantly cumulative abnormal returns of the Shanghai Stock Exchange-listed China enterprises are higher than those of the Shenzhen Stock Exchange-listed China enterprises. Due to the insufficient samples, we are unable to use strictly statistical tests to analyze the datas. But our conclusions provide further studies a trend to follow.