臺灣博碩士論文加值系統

隨著經濟走向自由化、國際化，且台灣亦公布企業購併法後，合併及收購等外部成長模式逐漸受到重視，而台灣證券交易市場目前資本來源比重也與過去以散戶為大宗的情況有別，近年來機構投資人交易扮演重要的角色，故本論文希冀探討機構投資人交易與台灣上市主併公司購併宣告效果的關聯。
本論文以台灣購併案件為探討對象，排除金融業相關案件，取樣自2003年至2012年間宣布購併的交易案件，以三大法人（外資法人、投信公司、證券自營商）為機構投資人代表，並且採用其每日買（賣）超股數占總流通股數比例做為交易指標，分別以市場模型及市場指數調整模型計算累積異常報酬率，探討機構投資人交易是否隱含對投資標的經營團隊品質的認證價值，進而反應在主併公司在（-1,+1）、（-2,+2）、（-3,+3）事件窗口下之購併宣告效果。
實證結果主要有以下幾點發現：首先，本研究發現三大法人累積淨買（賣）超與主併公司購併宣告累積異常報酬率在即期事件窗口（-1,+1）及（-2,+2）下均呈現顯著正向關係；第二，獲得三大法人累積淨買超之主併公司之購併宣告累積異常報酬率在（-1,+1）期間顯著高於三大法人累積淨賣超之主併公司，顯示機構投資人交易對主併公司經營團隊有品質認證價值；第三，三大法人中外資法人累積淨買（賣）超與主併公司購併宣告效果有顯著正向影響，而投信公司、證券自營商則與主併公司購併宣告後累積異常報酬率無顯著關係。

This study investigates the relationship between institutional trading and the announcement effect of merger and acquisition. The research is based on acquiring firms listed in Taiwan which announced merger and acquisition between 2003 and 2012. We use cumulative net buying of three representative institutional investors including foreign institutions, mutual funds, and brokers to examine acquirer’s short-run stock performance around the announcement of merger and acquisition. First, the results indicate that cumulative net buying of total institutional investors is positively related to the short-run stock performance of acquirers. Second, acquirers with increase in institutional holdings prior to the merger and acquisition have better short-run stock performance than acquirers with decrease in institutional holdings. Third, the relationship between cumulative net buying of foreign institutions and the announcement effect of acquirers is significantly positive while cumulative net buying of mutual funds or brokers has no significant relationship with the short-run stock performance of acquirers.

第一章 緒論 1
第一節 研究背景及動機 1
第二節 研究目的與貢獻 5
第三節 研究架構 6
第二章 文獻回顧及假說推導 7
第一節 企業購併與股東財富 7
第二節 機構投資人與企業購併 11
第三章 研究設計 15
第一節 資料來源 15
第二節 樣本選取標準 16
第三節 事件研究法 18
第四節 複迴歸分析 21
第五節 變數定義 22
第四章 實證結果分析 29
第一節 累積異常報酬率統計檢定分析 29
第二節 複迴歸結果分析 30
第五章 結論與建議 38
第一節 研究結論 38
第二節 研究限制 39
第三節 後續研究建議 39
參考文獻 41
附表 45

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12. 謝惠貞(1997)，「購併活動對國內上市主併公司價值影響之研究」，國立台灣大學會計學系碩士論文。

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