本文選題：并購(gòu) + 市場(chǎng)反應(yīng)�。� 參考：《西南財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：并購(gòu)是企業(yè)實(shí)現(xiàn)快速擴(kuò)張和整合的重要手段,同時(shí)也是資本市場(chǎng)實(shí)現(xiàn)資源有效配置的方式。企業(yè)并購(gòu)在成熟市場(chǎng)經(jīng)濟(jì)國(guó)家始于19世紀(jì)下半葉,美國(guó)一共經(jīng)歷了五次大的并購(gòu)浪潮,但呈現(xiàn)并購(gòu)熱度逐漸下降的趨勢(shì)。而我國(guó)企業(yè)并購(gòu)開始較晚,從90年代初至今經(jīng)歷了從無到有、從小到大、從不規(guī)范到規(guī)范的發(fā)展歷程,并且在世界并購(gòu)浪潮減弱的形勢(shì)下逆勢(shì)而上,在交易金額和交易宗數(shù)上均保持著高速增長(zhǎng)的趨勢(shì)。2005年我國(guó)開始啟動(dòng)股權(quán)分置改革試點(diǎn)工作,資本市場(chǎng)流動(dòng)性隨著改革的不斷深入而進(jìn)一步增強(qiáng),并購(gòu)活動(dòng)因此被注入新的活力。而新《公司法》、《證券法》和《上市公司收購(gòu)管理辦法》的相繼頒布和實(shí)施則消除了企業(yè)并購(gòu)所面臨的法律障礙,為并購(gòu)提供了一個(gè)更完善的外部市場(chǎng)環(huán)境,并購(gòu)模式和交易特征在這一階段也與以往大不相同,交易宗數(shù)和金額屢創(chuàng)新高,并購(gòu)進(jìn)入一個(gè)新的高潮期。因此,研究新形勢(shì)下上市公司的并購(gòu)行為具有重要的理論價(jià)值和現(xiàn)實(shí)意義。 在學(xué)術(shù)研究上,國(guó)外發(fā)達(dá)市場(chǎng)對(duì)于并購(gòu)的研究已經(jīng)相對(duì)成熟,國(guó)外學(xué)者多采用短期事件研究的方法對(duì)上市公司并購(gòu)事件公告前后的市場(chǎng)異常收益進(jìn)行研究分析。而我國(guó)的學(xué)者通過借鑒國(guó)外研究成果,同時(shí)結(jié)合國(guó)內(nèi)實(shí)際情況,也發(fā)表了一系列學(xué)術(shù)論文,研究主要圍繞并購(gòu)的價(jià)值創(chuàng)造以及投資者的市場(chǎng)反應(yīng)展開。早期由于受國(guó)內(nèi)證券市場(chǎng)的發(fā)展制約,國(guó)內(nèi)學(xué)者多采用財(cái)務(wù)指標(biāo)法對(duì)并購(gòu)績(jī)效進(jìn)行研究,而隨著資本市場(chǎng)的發(fā)展完善,利用事件研究法考察并購(gòu)市場(chǎng)反應(yīng)的文章逐漸增多,但數(shù)量有限并且基于不同類型并購(gòu)的研究也較少。本文試圖從市場(chǎng)反應(yīng)的角度,研究并購(gòu)行為是否能給并購(gòu)企業(yè)投資者帶來短期財(cái)富效應(yīng),以及市場(chǎng)對(duì)基于各種并購(gòu)影響因素分組的不同反應(yīng),以期能完善和補(bǔ)充國(guó)內(nèi)對(duì)于并購(gòu)的理論研究。 本文以我國(guó)滬深A(yù)股并購(gòu)事件的并購(gòu)企業(yè)(本文稱“并購(gòu)買方”)作為研究對(duì)象,從CSMAR數(shù)據(jù)庫(kù)中選取我國(guó)股票市場(chǎng)股改完成之后的數(shù)據(jù)作為樣本,數(shù)據(jù)期限為2009-2013年,通過采取理論研究、事件研究及多元回歸等研究方法,旨在考察并購(gòu)事件發(fā)生前后市場(chǎng)的短期反應(yīng),以及引起這種市場(chǎng)反應(yīng)的原因。本文首先回顧了國(guó)內(nèi)外關(guān)于并購(gòu)事件市場(chǎng)反應(yīng)的相關(guān)文獻(xiàn),并根據(jù)他們的研究從理論上梳理了造成市場(chǎng)反應(yīng)的原因。然后,根據(jù)前人的研究定義了事件研究法,建立計(jì)算累積平均異常收益和累積異常收益的模型,以并購(gòu)首次公告日為事件日期,選擇了(-20,20)的事件觀察窗口,同時(shí)對(duì)數(shù)據(jù)樣本進(jìn)行了進(jìn)一步篩選,并計(jì)算總樣本和根據(jù)影響因素分組的窗口期累積異常收益和累積平均異常收益。最后,在累積異常收益與其影響因素之間進(jìn)行了多元回歸分析,進(jìn)而得出相關(guān)結(jié)論。 本文的結(jié)構(gòu)安排及結(jié)論如下： 第一部分：介紹了本文的選題背景、選題意義、研究思路與框架以及特色之處。 第二部分：定義了并購(gòu),并將并購(gòu)按照不同標(biāo)準(zhǔn)進(jìn)行了分類。另外,從價(jià)值視角出發(fā),梳理介紹各種并購(gòu)動(dòng)機(jī)理論。 第三部分：對(duì)國(guó)內(nèi)外并購(gòu)文獻(xiàn)進(jìn)行了梳理,主要分為國(guó)外相關(guān)文獻(xiàn)綜述和國(guó)內(nèi)相關(guān)文獻(xiàn)綜述。 第四部分：實(shí)證研究,定義樣本數(shù)據(jù)研究時(shí)間窗口為(-20,20)天,研究了總體樣本以及基于影響并購(gòu)的不同因素分組的市場(chǎng)反應(yīng),主要結(jié)論如下： (1)從總體樣本看,并購(gòu)事件確實(shí)會(huì)對(duì)股價(jià)造成短期的沖擊,特別在并購(gòu)事件公告前,市場(chǎng)會(huì)出現(xiàn)異動(dòng),且這種異動(dòng)會(huì)持續(xù)到公告后5天。 (2)根據(jù)影響并購(gòu)事件市場(chǎng)反應(yīng)的因素進(jìn)行分組研究。通過對(duì)公司性質(zhì)、是否為內(nèi)幕交易、支付方式、是否為關(guān)聯(lián)交易、分析師跟進(jìn)人數(shù)及股東持股比例高低等六大因素進(jìn)行逐項(xiàng)研究,我們發(fā)現(xiàn)投資者對(duì)于公司并購(gòu)所采取的支付方式給予最強(qiáng)烈的反應(yīng),當(dāng)上市公司并購(gòu)采取股權(quán)支付時(shí),則在公告前20個(gè)交易日就有正面的市場(chǎng)回應(yīng),在公告后第5個(gè)交易日達(dá)到最大值,累積異常收益甚至達(dá)到12.54%；對(duì)于并購(gòu)是否為關(guān)聯(lián)交易,投資者更加看好關(guān)聯(lián)交易的并購(gòu)；市場(chǎng)對(duì)國(guó)企的并購(gòu)事件給予消極的反應(yīng),而民營(yíng)企業(yè)的并購(gòu)事件,市場(chǎng)的反應(yīng)較積極,股價(jià)上漲；投資者可以識(shí)別出高的內(nèi)幕交易和低的內(nèi)幕交易,對(duì)高內(nèi)幕交易的并購(gòu)反應(yīng)較差,而低內(nèi)幕交易的并購(gòu),并購(gòu)事件公布后,股價(jià)開始上漲；分析師跟進(jìn)越多的公司,市場(chǎng)的反應(yīng)越負(fù)面,而分析師跟進(jìn)越少的公司,市場(chǎng)反應(yīng)越好,在并購(gòu)事件公告后股價(jià)上漲,然后累積異常收益持平；而根據(jù)十大流通股東持股比例分組后發(fā)現(xiàn),持股比例越高的公司,市場(chǎng)對(duì)于并購(gòu)事件更加的認(rèn)同。 (3)對(duì)于累積異常收益進(jìn)行多元回歸分析。通過累積異常收益的多因素回歸發(fā)現(xiàn),支付方式啞變量正向地影響累積異常收益,關(guān)聯(lián)交易啞變量對(duì)總體樣本期間的異常收益也是正面影響,這種影響主要來源于并購(gòu)事件發(fā)生之后這段時(shí)期。內(nèi)幕交易變量總體上對(duì)異常收益有負(fù)面的影響,但是通過分時(shí)間段后回歸發(fā)現(xiàn),內(nèi)幕交易變量對(duì)公告之前的收益是正面影響,內(nèi)幕交易變量對(duì)總樣本的負(fù)面影響主要?dú)w因于公告日后市場(chǎng)的負(fù)面反應(yīng)。公司性質(zhì)啞變量對(duì)累積異常收益具有負(fù)向的影響,即國(guó)有企業(yè)與累積異常收益負(fù)相關(guān),民營(yíng)企業(yè)性質(zhì)與累積異常收益正相關(guān)。當(dāng)發(fā)布并購(gòu)消息時(shí),分析師跟進(jìn)越多的股票,在公告日前后異常收益均為負(fù),說明更多分析師跟進(jìn)的公司,在并購(gòu)事件上,投資者并沒有給予很好的評(píng)價(jià)。十大流通股東持股比例越高,異常累積收益越大,符合本文的預(yù)期,股東持股比例越高在并購(gòu)決策更謹(jǐn)慎,投資者對(duì)公司的這種決策也更認(rèn)可。 第五部分：本文結(jié)論及對(duì)于實(shí)證結(jié)果的解釋,根據(jù)以前學(xué)者的研究對(duì)實(shí)證發(fā)現(xiàn)的結(jié)果進(jìn)行了解釋。
[Abstract]:M & A is an important means to realize rapid expansion and integration of enterprises. At the same time, it is also the way to realize the effective allocation of resources in the capital market. Enterprise merger and acquisition in mature market economy countries began in the second half of nineteenth Century. The United States experienced five big wave of mergers and acquisitions, but the trend of merger and acquisition heat gradually declined. In the late 90s, from the beginning of the 90s to the present, we have experienced a development course from scratch, from small to large, from non standard to standard, and in the trend of the weakening of the wave of merger and acquisition in the world, the trend of high speed growth in the transaction amount and the number of transactions has been maintained at high speed in.2005, China began to start the pilot work on the reform of the split share reform and the liquidity of the capital market. With the deepening of the reform, merger and acquisition activities have been injected into new vitality. The new "Company Law >", "Securities Law >" and "listed company acquisition management methods" have been promulgated and implemented successively to eliminate the legal obstacles faced by enterprise merger and acquisition, providing a more perfect external market environment, M & a model and transaction for merger and acquisition. Characteristics in this stage are also different from the past, the number of transactions and the amount of transactions have been innovative high, mergers and acquisitions have entered a new climax. Therefore, it is of great theoretical and practical significance to study the merger and acquisition behavior of listed companies under the new situation.
In the academic research, the research of the foreign developed market has been relatively mature for the merger and acquisition. The foreign scholars have adopted the short-term event research method to study and analyze the abnormal returns of the market before and after the announcement of the merger and acquisition events of the listed companies. A series of academic papers focused on the value creation of M & A and the market reaction of investors. Early due to the development of the domestic securities market, the domestic scholars used the financial index method to study the M & a performance. With the development and perfection of the capital market, the article used the event research method to investigate the reaction of the merger and acquisition market. However, the number of mergers and acquisitions is limited and there are few studies based on different types of mergers and acquisitions. This paper tries to study whether mergers and acquisitions can bring short-term wealth effect to M & A investors from the perspective of market reaction, and the different response of market to various factors based on merger and acquisition in order to improve and supplement domestic merger and acquisition. A theoretical study.
In this paper, we take the merger and acquisition enterprise of Shanghai and Shenzhen A shares as the research object, and select the data of the stock market reform of our stock market from the CSMAR database as the sample. The data period is 2009-2013 years. Through the research methods such as theoretical research, event research and multiple regression, the aim is to investigate the merger and acquisition. The short term response of the market before and after the event and the cause of the market reaction. This paper first reviews the relevant literature on the market reaction of M & A events at home and abroad, and according to their research, combs the cause of the market reaction. Then, according to the previous research, the event research method is defined and the calculation is set up. With the first announcement day as the event date, the model of the average abnormal return and the cumulative abnormal return is selected for the event observation window of (-20,20). At the same time, the data samples are further screened, and the cumulative abnormal returns and the cumulative average abnormal returns of the total sample and the window period based on the influencing factors are calculated. Finally, the cumulative difference is found. Multiple regression analysis between constant return and its influencing factors is carried out and relevant conclusions are drawn.
The structure and conclusion of this paper are as follows:
The first part introduces the background, the significance of the topic, the train of thought, the framework and the characteristics.
The second part: defines M & A and classifies M & A according to different standards. In addition, from the perspective of value, it introduces the theories of M & A motives.
The third part: combing the literature of domestic and foreign mergers and acquisitions, mainly divided into foreign literature review and domestic literature review.
The fourth part: an empirical study, the time window of the sample data is defined as (-20,20) days, the overall sample and the market response based on the different factors affecting M & A are studied. The main conclusions are as follows:
(1) from the overall sample, M & A events do have a short-term impact on the stock price, especially before the announcement of the M & A events, and the market will have a special action, and this kind of action will continue to 5 days after the announcement.
(2) according to the factors that affect the reaction of the M & a market, we study the six factors such as the nature of the company, whether it is the insider trading, the mode of payment, whether it is the related transaction, the number of analysts follow up and the proportion of shareholders' shareholding, and we find that the way of payment is given by the investors to the merger and acquisition of the company. The strongest response is that when the listed companies take the equity payment, they have a positive market response in the first 20 days of the announcement, the maximum value is reached in the fifth trading days after the announcement, and the cumulative abnormal income is even 12.54%. The event of merger and acquisition gives a negative reaction, and the merger and acquisition events of the private enterprises, the market reaction is more active, the stock price rises; the investors can identify the high insider trading and low insider trading, the lower reaction to the merger and acquisition of the high insider trading, the lower insider trading, the stock price starts to rise after the merger and acquisition events, the more the analysts follow up. More companies, the more negative the market reaction, and the less the analysts follow up the company, the better the market reaction, the stock price increases after the merger event announcement, and the cumulative abnormal returns are flat; and according to the ten large share holders share proportion group, the higher the share proportion of the company, the market is more recognized for the merger and acquisition events.
(3) multiple regression analysis of cumulative abnormal returns. Through multiple regression analysis of cumulative abnormal returns, it is found that the dumb variables of payment mode positively affect the cumulative abnormal returns, and the related trading dumb variables have positive effects on the abnormal returns during the overall sample period, which is mainly due to the period after the occurrence of merger and acquisition events. On the whole, the episodic transaction variables have a negative impact on the abnormal returns, but it is found that the insider trading variable has a positive effect on the earnings before the announcement, and the negative effect of insider trading variable on the total sample is mainly attributable to the negative response of the market after the announcement day. Negative impact, that is, the negative correlation between state-owned enterprises and cumulative abnormal returns. The nature of private enterprises is positively related to cumulative abnormal returns. When the news of merger and acquisition is published, the more stocks that analysts follow are negative after the announcement day, indicating that more analysts follow up the company and investors have not given a good comment on the merger and acquisition events. The higher the shareholding ratio of the ten large circulation shareholders, the greater the cumulative income, which is in line with the expectation of this article. The higher proportion of shareholders' shareholding is more prudent in the decision of merger and acquisition, and the investors are more recognised for the decision of the company.
The fifth part: the conclusion of this paper and the interpretation of the empirical results are explained according to the findings of previous studies.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F271;F276.6

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