臺灣博碩士論文加值系統

本研究探討併購交易宣告日前一周，主併公司股票的異常交易量，與宣告日期間異常報酬率的關係。研究結果顯示：(1) 併購交易宣告日前一周的異常低交易量，透露關於交易宣告效果的負面訊息；(2) 此現象在越受放空限制的股票中越明顯。我們認為併購交易宣告日前一周的異常低交易量，反映了知情交易者（informed traders）持有關於該併購交易的負面消息，然而受放空限制無法交易的現象。此外，交易量溢酬相關文獻的發現無法解釋此篇研究的結果，顯示高、低交易量對於報酬率的影響，背後的因素並不一樣。

This study investigates the relationship between unusually low trading volume of the bidder’s stock over the week prior to its M&A announcement and the announcement effect of the M&A bidder. The empirical result suggests that (1) the unusually low trading volume over the week prior to its M&A announcement signals bad news about the announcement effect; (2) this effect is more pronounced among stocks with higher short-selling constraints. Our findings posit that unusually low trading volume signals negative information, since, under short-selling constraints, informed agents stay by the sidelines. In addition, past research regarding to high volume premium are insufficient to explain the results. This shows that the underlying driver for the volume prompted price movements is different for unusually high and low volume shocks.

論文口試委員審定書…………………………………………………………………i
謝辭…………………………………………………………………………………………………ii
中文摘要…………………………………………………………………………………… iii
英文摘要…………………………………………………………………………………… iii
目錄…………………………………………………………………………………………………iv
表目錄………………………………………………………………………………………………v
圖目錄………………………………………………………………………………………………v
第一章 緒論…………………………………………………………………………………1
第一節 研究背景及動機…………………………………………………………1
第二節 研究目的………………………………………………………………………2
第三節 研究架構與流程…………………………………………………………2
第二章 文獻探討………………………………………………………………………3
第一節 併購交易宣告效果之相關研究……………………………3
第二節 交易量與報酬的相關研究………………………………………8
第三章 研究方法………………………………………………………………………11
第一節 研究假說……………………………………………………………11
第二節 研究樣本……………………………………………………………11
第三節 研究變數……………………………………………………………12
第四節 研究方法……………………………………………………………15
第四章 研究結果………………………………………………………………………17
第一節 樣本敘述統計…………………………………………………17
第二節 群組分析結果…………………………………………………18
第三節 迴歸分析結果…………………………………………………19
第四節 研究限制與未來建議……………………………………20
第五章 結論………………………………………………………………………………22
第一節 主要發現……………………………………………………………22
第二節 研究貢獻……………………………………………………………23
參考文獻…………………………………………………………………………………………24

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