廖咸興臺灣大學：財務金融學研究所黃偉如Huang, Wei-JuWei-JuHuang2007-11-282018-07-092007-11-282018-07-092006http://ntur.lib.ntu.edu.tw//handle/246246/60873本篇研究利用廖咸興與陳宗岡(2005)之市場基礎淨綜效模型，以美國1992至2004年之合併案件為對象，實際探討企業進行策略性決策對於債權人所承擔之違約風險及對於股權報酬之影響。此外，我們也利用此模型中的績效判斷指標：淨綜效報酬，找出對策略性決策創造之淨綜效具有影響力的因素。實證結果顯示，策略性活動之淨綜效不僅與股權累積超額報酬之變動有正向關係，亦能降低債權人所承擔之違約風險。另外我們也發現在企業合併案件中，淨綜效報酬受到兩企業之相對股價水準、相對槓桿程度，以及每單位交易規模之交易淨成本正向的影響。Employing Liao and Chen’s (2005) Market-based Net Synergy model (MNS model), we explore empirically the relationship between the strategic decisions of a firm and its default risk and equity returns. We also investigate the factors influencing these decisions. Our empirical results show that strategic activities positively affect not only the equity’s cumulative abnormal returns but also the acquiring firm’s debt distance to default. Furthermore, we find that in a merger activity the net synergy return can be explained by the relative stock price, the relative leverage between the acquirer and the target firm, and the project net costs per unit transaction value.口試委員審定書 誌謝.............................................................................................................i 摘要…………………………………………………………………ii Abstract………………………………………………………………..iii I. Introduction…...………………………………………………………01 II. Market-based Net Synergy Model…………………………………...06 II-1. MNS model assumptions…………………………………………………...06 II-2. Definition of notations……………………………………………………...06 II-3. Classification of merger cases……………………………………………08 III. Data and Methodology……………………………………………...10 III-1. Data………………………………………………………………………...10 III-2. Methodology……………………………………………………………….10 III-3. Research questions………………………………………………………14 IV. Empirical Results……………………………………………………17 IV-1. Classification results of sample merger cases……………………………..17 IV-2. Effectiveness of MNS model in differentiating merger activities…………19 IV-3. Effects of merger decisions on the equity and debt holders……………….20 IV-4. Factors affecting NSR……………………………………………………...24 V. Conclusion…………………………………………………………26 Reference………………………………………………………………..27 Appendix: Derivations of Equations in Section III……………………..29423201 bytesapplication/pdfen-US策略性決策違約風險股權報酬Strategic decisionsDefault riskEquity returnsthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60873/1/ntu-95-R93723049-1.pdf