湛可南臺灣大學：財務金融學研究所蒲信宇Pu, Hsin-YuHsin-YuPu2007-11-282018-07-092007-11-282018-07-092004http://ntur.lib.ntu.edu.tw//handle/246246/60668本文主要是探討交易型態跟主併公司性質對於購併後股價表現的影響，所使用的樣本為1980-1997年間美國的購併案例；至於使用的方法則是以投資人對於季報的反應來看市場究竟如何看待此一購併案的期後表現。實證結果發現購併交易所使用的融資方式跟主併公司的規模大小對於購併後的股價表現有顯著影響，投資人會對於使用現金做為支付工具跟主併公司規模較大的購併案給予較正面的評價，至於過去常提及的淨值市價比、本益比、以及merger跟tender offer的差異則並沒有在實證結果中得到支持，可能的原因在於購併支付方式反映出經理人對於目前價位的看法，相對於本益比或是市價淨值比等外部人的觀點會有更好的參考價值，至於較大型的主併公司由於在組織架構以及相關營運的掌握度較佳，長期而言比較有機會發揮出應有的綜效，不過這部分假設仍需要日後更深入的研究來驗證其是否成立。I investigate how the features of acquisition, such as form of deal, method of payment and firm characteristics influence the acquiring firms’ stock performance following acquisitions. For the sample of 4094 US acquisitions completed during the period from 1980 to 1997, I examine the stock reaction to quarterly earnings announcements from two years before to five years after the effective date. The method of payment and firm size do matter to the short-run stock reaction while form of deal, book to market ratio and price to earnings ratio have no obvious impact on the short-run stock reaction. The detailed analysis suggests that the method of payment dominates form of deal, book to market ratio and price to earnings ratio in explaining the post-merger stock performance. I also calculate the long-run abnormal returns using the calendar-time portfolio approach. The result is roughly consistent with the short-run stock reaction to quarterly earnings announcement.Section 1 Introduction 1 Section 2 Theoretical backgrounds 4 Section 3 Sample and methodology 7 A. Sample selection 7 B. Summary statistics 8 C. Computation of abnormal return 10 Section 4 Empirical results 12 A. The stock price reaction to earnings announcements 12 B. Cross-sectional test—portfolio approach 14 C. Cross-sectional test—regression approach 21 D. The post-event long-run performance 24 Section 5 Conclusion 26 Reference 28 Table 1 Summary statistics 30 Panel A Number of acquisitions by calendar year 31 Panel B Method of payment 31 Panel C Firm characteristics for the subsample 31 Panel D distribution for the firm characteristics for the subsample 32 Table 2 Abnormal returns surrounding quarterly earnings announcement 33 Panel A Whole sample 34 Panel B Different method of payment 35 Panel C Different form of deal 36 Table 3 The three day abnormal stock reaction to the quarterly earnings announcements for the five years after the acquisition effective by form of deal, method of payment, and firm characteristics 37 Panel A Overall sample 37 Panel B Form of deal and method of payment 37 Panel C Cross effect between form of deal and method of payment 38 Panel D Firm characteristics 39 Panel E The impact of value strategy controlling the method of payment 40 Table 4 Regression analysis of post-merger stock reaction to quarterly earnings announcements on form of deal, method of payment, and firm characteristics 41 Panel A Form of deal and method of payment 41 Panel B Firm size 42 Panel C Firm book to market ratio 42 Panel D Firm price to earnings ratio 43 Panel E method of payment and firm characteristics 43 Table 5 Calendar time post-event monthly abnormal return 44en-US公司特性購併盈餘宣告acquisition,earnings surprisefirm characteristicsthesis