併購宣告之日內市場反應

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：26

、訪客IP：3.147.104.18

姓名

郝嘉瑩(Chia-Ying Hao) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

併購宣告之日內市場反應
(Market Reactions to Acquisition Announcements — An Intraday Analysis)

相關論文

★ 上市公司財務主管異動宣告對股價報酬與企業經營績效之影響	★ 國內綜合證券商轉投資海外子公司內部控制實務探討
★ IPO承銷新制對市場波動性、效率性及流動性之影響	★ 探討影響本益比之各項變數－IC設計產業之實證研究
★ 避險基金交易策略在台灣市場獲利性之研究	★ 財富管理業務與顧客行為之研究－以本國銀行業為例
★ 購併活動與資訊揭露—以公開收購為例	★ 臺灣證券期貨市場後台作業整合模式之研究
★ 道瓊指數、日經225指數、美國及日本10年期公債利率與日圓匯率之相互關係	★ 銀行投資公債業務之探討分析
★ 所得稅法新制對債券流通市場之影響	★ 私募基金入主國內銀行之認購價格實證研究-以凱雷入主大眾銀行為例
★ 虛擬銀行之可行性分析－以HSBC為例	★ 台灣中小企業融資、客群經營模式與經營策略問題之探討-以C銀行為例
★ 美元兌新台幣匯率與台灣股市關聯性之理論探討與實證分析	★ 動態投資組合保險策略之應用— 以紐約證券交易所發行之ETFs為實證

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

至系統瀏覽論文 ( 永不開放)

摘要(中)

本文使用日內交易與報價資料以及準確之宣告時間點檢驗市場對併購宣告之日內反應情況。
我們發現併購宣告對主併及被併公司的股價有相反的影響，而流動性也有所差異。主併公司的股票報酬在宣告當時能立即且顯著地反映，尤其在非交易時間宣告的樣本更為顯著。而被併公司之股價則從宣告前15分鐘即開始有顯著報酬，隱含有消息外漏或內線交易的情形發生。
併購宣告亦對主併及被併公司造成不同之影響。造市者能察覺資訊事件並以買賣價差的變動來降低資訊不對稱風險。然而，由於資訊公開後流動性變佳，造市者會降低買賣價差並提高買賣深度，這個效果會抵消資訊不對稱所增加的買賣價差。此種情形在宣告前後流動性相對較差的被併公司特別明顯。

摘要(英)

This study uses intraday trade and quote data and exact announcement times to examine the intraday pattern of market reactions for both acquiring and target firms surrounding the acquisition announcements.
We find that acquisition announcements have opposite effects on acquiring and target firms on both price responses and liquidity. The stock price of acquiring firms reacts to acquisition announcements immediately and dramatically at the announcement time, especially in the overnight subsample. However, the price reaction of target firms is more gradual and begins from 15 minutes before the announcement, which implies a possibility of leakage of information.
There is some difference in the shifts of quoted liquidity after the announcements between acquirers and targets. Liquidity providers have the ability to detect information events and use the spread to manage the asymmetric information risk. However, as the information is relatively transparent, liquidity providers will reduce the spread and elevate the depth as a result of increased liquidity. Such situation recovers the impact of information asymmetry for targets because of the originally less liquid of the stocks of target firms.

論文目次

1.Introduction.... 1
2.Hypothesis...... 4
3.Literatures review....... 7
4.Data... 9
5.Methodology..... 11
5.1 The impact of acquisition announcement on price and trading........ 12
5.2 The impact of acquisition announcements on liquidity..... 14
6.The impact of acquisition announcements on price and trading..17
6.1 Magnitude of price response... 17
6.2 Speed of price response....... 21
6.3 Cross-sectional determinants of price impact.... 23
6.4 Trading profitability .....27
6.5 Trading activity..... 29
7.The impact of acquisition announcements on liquidity....32
7.1 Univariate test results....... 32
7.2 Multivariate test results......38
8.Conclusion...... 45
References........ 48
Appendix A........ 50
Appendix B........ 51

參考文獻

1. Arthur, K. and J. Pinkerton, 1981, “Merger Announcement and Insider Trading Activity: An Empirical Investigation”, The Journal of Finance 36, 855-869.
2. Asquith, P., 1983, “Merger Bids, Uncertainty, and Stockholder Returns”, Journal of Financial Economics 11, 51-83.
3. Asquith P., R. Bruner, and D. Mullins, 1983, “The Gains to Bidding Firms from Merger”, Journal of Financial Economics 11, 121-139.
4. Andre P., M. Kooli, and Jean-Francios L’her, 2004, “The Long-Run Performance of Merger and Acquisitions: Evidence from the Canadian Stock Market”, Financial Management 33, No. 4, 27-43.
5. Busse, J. and T. Green, 2002, “Market Efficiency in Real Time”, Journal of Financial Economics 65, 415-437.
6. Bradley, M., A. Desai, and E.H. Kim, 1988, “Synergistic Gains from Corporate Acquisitions and Their Division between the Stockholders of Target and Acquiring Firms”, Journal of Financial Economics 21, 3-40.
7. Conrad, J. and C.M. Niden, 1992,”Order Flow, Trading Costs and Corporate Acquisition Announcements”, Financial Management 21, 22-31.
8. Draper, P. and K. Paudyal, 1999, “Corporate Takeovers: Mode of Payment, Returns and Trading Activity, Journal of Business Finance and Accounting 26, 521-558.
9. Flanagan, D., 1996, “Announcements of Purely Related and Purely Unrelated Mergers and Shareholder Returns: Reconciling the Relatedness Paradox”, Journal of Management 22, 823-835.
10. Jennings, R., 1994, “Intraday Changes in Target Firms’ Share Price and Bid-Ask Quotes Around Takeover Announcements”, The Journal of Financial Research 17, 255-270.
11. Lee, C., B. Mucklow, M. Ready, 1993, “Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis”, The Review of Financial Studies 6, No. 2, 345-374.
12. Lee, C., M. Ready, and P. Seguin, 1994, “Volume, Volatility, and New York Stock Exchange Trading Halts”, The Journal of Finance 49, 183-214.
13. Loughran, T. and A. Vijh, 1997, “ Do Long-term Shareholders benefit from Corporate Acquisition?”, The Journal of Finance 52, No. 5, 1765-1790.
Leeth, J. and J.R. Borg, 2000, “The Impact of Takeovers on Shareholder Wealth during the 1920s Merger Wave”, Journal of Financial and Quantitative Analysis 35, No. 2, 217-238.
14. Menyah, K. and K. Paudyal, 1996, “The Determinants and Dynamics of Bid-Ask Spreads on the London Stock Exchange”, Journal of Financial Research 19, No.3, 377-394.
15. Moeller S., F. Schingemann, and R. Stulz, 2004, “Firm Size and the Gains from Acquisitions”, Journal of Financial Economics 73, 201-228.
16. Nickolaos T., 1987, “Corporate Takeover Bids, Methods of Payment, and Bidding Firms’ Stock Returns”, The Journal of Finance 42, No. 4, 943-963.
17. Smith, B., R. White, M. Robinson, and R. Nason, 1997, “Intraday Volatility and Volume after Takeover Announcements”, Journal of Banking and Finance 21, 337-368.

指導教授

周冠男、陳聖賢
(Robin K. Chou、Sheng-Syan Chen)

審核日期

2006-6-22

推文