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研究生:廖元豐
研究生(外文):Yuan-Feng Liao
論文名稱:企業購併宣告對主併公司財富的影響-多因子模式之比較分析
論文名稱(外文):The Influences of Merger Announcement on Shareholder Wealth of Bidding Firms- the Applications of Multifactor models
指導教授:陳振遠陳振遠引用關係
指導教授(外文):Cheng-Yuan Chen
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:財務管理所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:53
中文關鍵詞:購併宣告效果三因子模式GARCH模式雙指標模式
外文關鍵詞:M&AAnnouncement EffectFama-French three-factor modelGARCH modelTwo-Index Market Model
相關次數:
  • 被引用被引用:6
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  • 收藏至我的研究室書目清單書目收藏:2
本研究以事件研究法配合多因子模式探討購併事件之宣告效果,其目的為探討不同模式下購併宣告效果之差異、不同型態購併對股價之影響,以及何種因素較能解釋宣告時之累積異常報酬以及購併宣告時,主併公司的財務資訊對股價行為之影響。所得到之結論為:
(1)三種模式皆顯示出購併事件宣告的確會使股東財富增加。
(2)以三因子結合GARCH (1,1)模式之解釋能力最佳,三因子模式次之,而雙指標模式最差;觀察期之預測能力則分別為雙指標模式最佳,三因子模式次之,而最差的為三因子結合GARCH (1,1)模式。
(3)整體而言,各分群變數上(橫斷面),各變數在三種模式的估算下,其與平均累積異常報酬皆呈現相同的影響方向。故並無一致性的證據支持何種模式較優,所以無論使用何種模式,其橫斷面分析的結果都很類似。
(4)三種模式中之獲利性變數對累積異常報酬之來源皆有顯著之負向解釋能力;另外,購併區域變數在三因子結合GARCH(1,1) 模式下也有顯著之正向解釋能力。
The study employs the event study and multifactor models to examine the annou- ncement effects of merger and compares the difference among three models on the measurement of merger announcement effect. This study also examines the announ- cement effects from different type of merger and financial information and what variables can explain the source of cumulative abnormal returns. Results show:
(1)The announcement effect is significantly positive in three models.
(2)Fama-French three-factor combined GARCH (1,1) model has a better explain ability than three-factor model and two-index market model, but two-index market model has a better forecasting ability than three-factor model and three-factor combined GARCH (1,1) model.
(3)The empirical results would not be seriously affected when different models are adopted.
(4)The profitability variable has a significantly negative correlation with cumulative abnormal returns in three models. However, the geographic significantly positively correlated with cumulative abnormal returns only in three-factor combined GARCH (1,1) model.
目錄

中文摘要……………………………………………………………….…i
英文摘要…………………………………………………………………ii
誌謝……………………………………………………………...………iii
目 錄………………………………………………………….……......iv
表目錄…………………………………………………………………...vi
圖目錄……………………………………………………..……………vii
第一章 緒論
第一節 研究動機..........................................…................1
第二節 研究目的.........................................................................2
第三節 研究流程與架構......................................................2
第二章 文獻探討
第一節 購併基本理論………………………………..….….…..4
第二節 異常報酬衡量相關文獻………..………………...…….7
第三節 購併相關實證文獻……………………………..…………10
第三章 研究設計
第一節 研究假設........................................................................15
第二節 操作變數之定義……………………………………….….17
第三節 研究方法........................................................................18
第四章 實證分析
第一節 研究範圍………………………………………………….23
第二節 全體樣本宣告效果分析………………………………….25
第三節 分群樣本宣告效果分析………………………………….30
第四節 購併宣告累積異常報酬之來源………………………….35
第五章 結論與建議
第一節 研究結論………………………………………………….41
第二節 建議……………………………………………………….43
參考文獻………………………………………………………………..44
附錄一…………………………………………………………………..48

表目錄
表4-1 購併事件宣告、區域、產業相關性分配表……………….24
表4-2 購併事件產業分配表……………………………………….24
表4-3 全體購併事件平均異常報酬檢定結果………………….....26
表4-4 全體購併事件累積平均異常報酬檢定結果………….……27
表4-5 三種模式比較表………………………………………….…30
表4-6 內部人士持股分群檢定結果……………………………….31
表4-7 獲利性分群檢定結果……………………………………….32
表4-8 自由現金流量分群檢定結果……………………………….33
表4-9 購併地區分群檢定結果…………………………………….34
表4-10 產業相關性分群檢定結果………………………..……….34
表4-11 三種模式分群樣本分析彙整表…………….…..…………35
表4-12 全體樣本迴歸分析之結果………………………………...38
圖目錄

圖1-1 研究架構流程圖………...…………………………………...3
圖3-1實證分析架構圖……………………………………………..18
圖4-1 AR及CAR走勢圖……………………………………….…29
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