陳聖賢臺灣大學：財務金融學研究所謝叔妤Hsieh, Shu-YuShu-YuHsieh2007-11-282018-07-092007-11-282018-07-092006http://ntur.lib.ntu.edu.tw//handle/246246/60753本篇論文主要目的在討論當公司宣告資產出售時，對該公司的競爭者以及上下游廠商所可能產生的股價影響。利用美國由1990年到2003年進行資產出售的273家公司為樣本，分別檢驗efficiency deployment (focus) hypothesis 以及finance hypothesis.利用整體樣本所得到的超額報酬結果發現，當公司宣布資產出售時，對其競爭者以及下游廠商會產生正面股價影響，而對下游廠商則會產生負面股價影響。進一步利用分組資料來進行檢驗efficiency deployment (focus) hypothesis 發現當公司在出售資產後的營運集中度以及營運集中度提高時，對競爭者以及下游廠商有顯著的正面股價影響，而對於上游廠商則是有顯著負面影響，此結果支持efficiency deployment (focus) hypothesis 的推論。另一方面在finance hypothesis 的分組結果發現，當公司在進行資產出售後的負債程度下降，對於競爭者並未發現顯著影響，對下游廠商則有顯著正面影響；其次對於上游廠商的部分則是有顯著負面影響。This paper uses a sample of 273 asset sales from 1990 to 2003 to examine the wealth effect of asset sales announcement on rivals of the seller, and on firms in the divestiture industry’s supplier and customer industries. The abnormal returns to the overall sample of rival and customer are positive and significant while the supplier has a significantly negative stock price effect. The sub-sample of rivals provides an evidence to support the efficiency deployment (focus) hypothesis that the positive return comes from the positive demand shock. The positive abnormal return to the customer mainly derives from the improvement of production efficiency of seller. Since sellers redeploy their resources to their remaining division increases the production, the advantage of price decreasing brings positive returns to the customer. The negative returns to the sub-sample of suppliers support the finance hypothesis. As seller uses the proceeds of asset sales to repay their debt and lower its leverage level, seller earns a bargaining power against supplier and has a negative wealth effect on supplier.Contents 致謝詞 ii 中文摘要 iii Abstract iv 1. Introduction - 1 - 2. Hypothesis development and related literature - 4 - 2.1 Efficiency deployment (focus) hypothesis - 4 - 2.2 The finance hypothesis - 7 - 3. Data sources, asset sales samples, rivals, customer, and suppliers - 11 - 3.1. Asset sales sample - 11 - 3.2 Seller’s rivals, customers, and suppliers - 12 - 4. Methodology and Empirical results - 15 - 4.1 Measuring abnormal returns - 15 - 4.2 Abnormal returns to the overall sample - 15 - 4.3 Empirical results of Efficiency Deployment (Focus) Hypothesis - 17 - 4.3.1 Rivals - 18 - 4.3.2 Customers - 19 - 4.3.3 Suppliers - 20 - 4.4 Empirical results of Finance Hypothesis - 22 - 5. The cross-section analysis in cumulative abnormal return - 24 - 5.1 Measurement of independent variables - 24 - 5.2 Cross-sectional results - 26 - 6. Conclusion - 29 - Reference - 32 - Content of tables Table 1 Summary of hypothesis…………………..…………………… 35 Table 2 Distribution of sample by year and industry classification … 36 Table 3 Descriptive statistics for the variables used to identify customer and supplier industries……………………………………… 38 Table 4 Announcement period abnormal returns to rivals, customer, and suppliers…………………………………………………….. 39 Table 5 Abnormal returns to sub-sample of rivals on asset sale announcement grouped by efficiency deployment (focus) hypothesis…………………………………………………..... 40 Table 6 Abnormal returns to sub-sample of customer on asset sale announcement grouped by efficiency deployment (focus) hypothesis.............................................................................. 41 Table 7 Abnormal returns to sub-sample of supplier on asset sale announcement grouped by efficiency deployment (focus) hypothesis…………………………………………………... 42 Table 8 Abnormal returns to sub-sample of rivals, customer, suppliers on asset sale announcement grouped by finance hypothesis…... 43 Table 9 Regression result of cumulative abnormal return to Seller, Rival, Customer, and Supplier…………………………………….. 44294184 bytesapplication/pdfen-US資產出售上下游asset salescustomersupplierthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60753/1/ntu-95-R93723037-1.pdf