併購宣告之日內市場反應

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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)

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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

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2. Asquith, P., 1983, “Merger Bids, Uncertainty, and Stockholder Returns”, Journal of Financial Economics 11, 51-83.
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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.
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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.
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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.
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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