臺灣博碩士論文加值系統

　為了有別於過去策略聯盟宣告事件在股票市場上的研究，本篇研究利用市場微結構的角度與觀點來分析2000年-2002年的策略聯盟宣告公司。主要進行事件研究法與橫斷面迴歸分析來實證分析出策略聯盟宣告期間超額報酬形成的原因。實證分析結果證實了我們的假設，由於公開的策略聯盟宣告資訊降低了股票市場造市者的資訊不對稱，而隨著股票流動性的增加使得價差成分中的存貨持有成本以及訂單處裡成本顯著性增加，也因此產生了超額報酬。同時，我們還發現了公司進行不同類型的聯盟型態(科技聯盟 or 非科技聯盟以及水平聯盟或非水平聯盟)在事件期間對於價差、流動性、波動性和資訊成本也會有顯著性影響。除此之外，過去文獻注重的控制變數，如公司規模以及公司成長機會等變數也在本研究橫斷面方析中對於市場微結構變數有所影響。最後，本研究主要的貢獻為第一篇進行策略聯盟宣告事件期間探討股票市場日內交易分析的研究，也利用實證分析結果提出與過去不同的觀點來解釋超額報酬形成。

This　study　analyzes　321　strategic　alliances　formed　during　the　period　2000-2002.　Using　the　event　study　and　cross-sectional　regression　methodologies,　we　empirically　analyze　why　abnormal　return　generates　for　firm　stockholders　around　strategic　alliance　announcements　in　the　view　of　market　microstructure　characteristics.　Consistent　with　our　expectation,　the　abnormal　return　is　caused　by　increasing　inventory　cost　of　spread　because　information　asymmetry　cost　is　mitigated　by　public　strategic　alliance　announcements　during　the　event　period.　The　increase　liquidity　and　different　volatility　of　larger　strategic　partners　and　smaller　strategic　partners　also　confirm　our　hypotheses.　Besides,　for　firms　of　technological　alliances　or　not　and　horizontal　alliances　or　not　have　different　market　microstructure　characteristic　circumstances　during　the　event　period.　Further,　firm　size　and　growth　opportunity　play　critical　roles　in　our　study.　Finally,　this　paper　confirms　previous　studies　about　strategic　alliance　announcements　and　our　study　is　also　the　first　one　to　empirically　investigate　the　market　microstructure　characteristics　around　strategic　alliance　announcements.

Chapter　1.　Introduction.....................................................1

Chapter　2.　Literature　Review　and　Hypotheses　Development................10
　I.Benefits　and　costs　of　strategic　alliances...........................10
　II.Market　microstructure　characteristics.................................12
　　1.Bid-ask　spread　and　information　asymmetry　costs....................12　　2.Liquidity　and　volatility.............................................14
　III.The　comparison　of　technological　alliances　&　non-technological　alliances...................................................................15
　IV.The　comparison　of　horizontal　alliances　&　non-horizontal　alliances...................................................................16
　V.The　relation　of　strategic　alliance　announcements　&　firm　sizes....17

Chapter　3.　Data　and　Methodology..........................................19
　　　I.Sample　description..................................................19
　　II.Methodology...........................................................23
　　　1.Computation　of　abnormal　returns...................................24
　　　2.Computation　of　bid-ask　spread.....................................26
　　　3.Computation　of　liquidity　and　volatility..........................27
　　　4.Computation　of　information　asymmetry　cost........................29

Chapter　4.　Empirical　Results..............................................31
　I.Event　studying　findings................................................31
　II.Cross　sectional　analysis..............................................40
　III.Robust　analysis.......................................................47

Chapter　5.　Summary　and　Conclusions.......................................49

References...................................................................71

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