本文關鍵詞：中國A股上市公司要約收購套利策略有效性的實證研究　出處：《復旦大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 并購套利 事件研究法 信息價值

【摘要】：隨著中國股權分置改革的完成,上市公司并購風潮正在逐漸興起,要約收購作為并購風潮中的主流形式為中國市場的要約收購套利帶來了新的機會。本文通過研究股改后A股上市公司要約收購套利策略是否有效,以及當前的要約收購過程中是否存在內(nèi)幕交易的問題,探尋中國要約收購套利的特殊性,并針對目標公司不同上市地點(上交所、深交所)、不同企業(yè)性質(zhì)(國有控股、非國有控股),對照分析要約收購套利策略有效性的不同表現(xiàn)。文章在借鑒和吸收國外研究成果的基礎上,運用事件研究法考查上市公司要約收購前后的二級市場表現(xiàn),對中國A股股權分置改革以來(2005.06—-2012.12)中國上市公司的31起要約收購進行了套利有效性和收益性的全面分析。 實證研究表明,在(-30,30)的事件窗內(nèi),對要約收購目標公司的股票進行套利的確可以獲得超額回報,且統(tǒng)計檢驗顯示套利累計超額收益率CAR的顯著性較高。同時,分析不同市場和不同性質(zhì)目標企業(yè)目前可實現(xiàn)較高超額收益的套利策略和并購信息的公告價值,得出的結(jié)果顯示：在上海證券交易所發(fā)生的要約收購事件期內(nèi)長期持有將是更佳策略,短線套利活動基本不會產(chǎn)生超額收益,而深圳證券交易所的要約并購套利策略更為靈活,長短期均存在套利機會；國有控股企業(yè)作為目標公司的并購事件存在內(nèi)幕交易的可能性更高,可套利期較短,非國有控股企業(yè)涉及并購可在整個事件窗口期套利,靈活性更高。此外,根據(jù)AAR(-30,0)變動及顯著性檢驗間接發(fā)現(xiàn)中國要約收購套利過程存在內(nèi)幕交易的可能性,而深圳證券交易所涉及的并購套利存在內(nèi)幕交易的可能性更高。
[Abstract]:With the completion of the split share structure reform in China, the trend of mergers and acquisitions of listed companies is rising gradually. As the mainstream form of M & A, tender offer brings a new opportunity for China's tender offer arbitrage. This paper studies whether the arbitrage strategy of A-share listed companies is effective. And the current tender offer process whether there is the problem of insider trading, explore the particularity of China's tender offer arbitrage, and target companies in different listed places (Shanghai Stock Exchange, Shenzhen Stock Exchange). Different enterprises (state-owned holding, non-state-owned holding, contrastive analysis of the effectiveness of tender offer arbitrage strategy performance. The article on the basis of reference and absorption of foreign research results. Using event study method to examine the secondary market performance of listed companies before and after the takeover offer. This paper makes a comprehensive analysis of the arbitrage effectiveness and profitability of 31 offers made by listed companies in China since the reform of China's A share equity split structure from May 06 to February 12, 2012. The empirical study shows that in the event window, the stock arbitrage of the target company can indeed achieve excess return. And the statistical test shows that arbitrage cumulative excess return CAR is significant. At the same time. This paper analyzes the arbitrage strategy and the announcement value of M & A information which can achieve higher excess returns in different markets and different target enterprises. The results show that long-term holding will be a better strategy and short-term arbitrage activities will not produce excess returns. The arbitrage strategy of the Shenzhen Stock Exchange is more flexible and there are arbitrage opportunities in the long and short term. The possibility of insider trading in M & A of state-owned holding enterprises as target companies is higher, the arbitrage period is shorter, the non-state-owned holding enterprises involved in M & A can arbitrage in the whole event window, and the flexibility is higher. According to the change of AAR-30 / 0) and the significance test, it is indirectly found that there is the possibility of insider trading in the arbitrage process of China's tender offer. The Shenzhen Stock Exchange involved in M & A arbitrage is more likely to insider trading.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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本文編號：1395740