臺灣博碩士論文加值系統

Abstract
This study investigates the long-run performance of firms following the announcements of pure exchange offers. We find no consistent abnormal return following the announcements pure exchange offers, but we find firms experience an inferior operating performance after the announcement of executing pure exchange offers. Further, we find that there is no consistent relationship neither between BHAR and firm size nor between BHAR and book-to-market ratio.

Abstract
This study investigates the long-run performance of firms following the announcements of pure exchange offers. We find no consistent abnormal return following the announcements pure exchange offers, but we find firms experience an inferior operating performance after the announcement of executing pure exchange offers. Further, we find that there is no consistent relationship neither between BHAR and firm size nor between BHAR and book-to-market ratio.

CONTENTS
1. INTRODUCTION 1
2. DATA AND METHODOLOGY 3
2.1. SAMPLE DESCRIPTION………………………………………….3
2.2. MEASURMENTS OF LONG-RUN ABNORMAL
STOCK-PRICE PERFORMANCE 5
2.2.1. BUY-AND-HOLD ABNORMAL RETURN 5
2.2.2. CALENDAR-TIME ABNORMAL RETURN 6
2.2.2.1. FAMA AND FRENCH THREE-FACTOR MODEL 6
2.2.2.2. CARHAT FOUR-FACTOR MODEL 7
3. POST-ANNOUNCEMENT LONG-RUN ABNORMAL RETURN 8
3.1. BUY-AND-HOLD ABNORMAL RETURN 8
3.2. CALENDAR-TIME ABNORMAL RETURN 9
3.2.1. FAMA AND FRENCH THREE-FACTOR MODEL 9
3.2.2. CARHART FOUR-FACTOR MODEL 9
4. OPERATING PERFORMANCE 10
4.1. RESULT OF OPERATING PERFORMANCE 11
5. CROSS-SECTIONAL ANALYSIS OF PURE EXCHANGE OFFERS 11
6. CROSS-SECTIONAL PATTERNS OF POST-ANNOUNCEMENT STOCK PRICE PERFORMANCE 12
6.1. FIRM SIZE 12
6.2. BOOK-TO-MARKET-RATIO 13
7. CONCLUSION 15
REFERENCES 17

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