我国上市公司并购行为的市场反应研究

发布时间：2018-05-28 02:39

本文选题：并购 + 市场反应　；参考：《西南财经大学》2014年硕士论文

【摘要】：并购是企业实现快速扩张和整合的重要手段,同时也是资本市场实现资源有效配置的方式。企业并购在成熟市场经济国家始于19世纪下半叶,美国一共经历了五次大的并购浪潮,但呈现并购热度逐渐下降的趋势。而我国企业并购开始较晚,从90年代初至今经历了从无到有、从小到大、从不规范到规范的发展历程,并且在世界并购浪潮减弱的形势下逆势而上,在交易金额和交易宗数上均保持着高速增长的趋势。2005年我国开始启动股权分置改革试点工作,资本市场流动性随着改革的不断深入而进一步增强,并购活动因此被注入新的活力。而新《公司法》、《证券法》和《上市公司收购管理办法》的相继颁布和实施则消除了企业并购所面临的法律障碍,为并购提供了一个更完善的外部市场环境,并购模式和交易特征在这一阶段也与以往大不相同,交易宗数和金额屡创新高,并购进入一个新的高潮期。因此,研究新形势下上市公司的并购行为具有重要的理论价值和现实意义。在学术研究上,国外发达市场对于并购的研究已经相对成熟,国外学者多采用短期事件研究的方法对上市公司并购事件公告前后的市场异常收益进行研究分析。而我国的学者通过借鉴国外研究成果,同时结合国内实际情况,也发表了一系列学术论文,研究主要围绕并购的价值创造以及投资者的市场反应展开。早期由于受国内证券市场的发展制约,国内学者多采用财务指标法对并购绩效进行研究,而随着资本市场的发展完善,利用事件研究法考察并购市场反应的文章逐渐增多,但数量有限并且基于不同类型并购的研究也较少。本文试图从市场反应的角度,研究并购行为是否能给并购企业投资者带来短期财富效应,以及市场对基于各种并购影响因素分组的不同反应,以期能完善和补充国内对于并购的理论研究。本文以我国沪深A股并购事件的并购企业(本文称“并购买方”)作为研究对象,从CSMAR数据库中选取我国股票市场股改完成之后的数据作为样本,数据期限为2009-2013年,通过采取理论研究、事件研究及多元回归等研究方法,旨在考察并购事件发生前后市场的短期反应,以及引起这种市场反应的原因。本文首先回顾了国内外关于并购事件市场反应的相关文献,并根据他们的研究从理论上梳理了造成市场反应的原因。然后,根据前人的研究定义了事件研究法,建立计算累积平均异常收益和累积异常收益的模型,以并购首次公告日为事件日期,选择了(-20,20)的事件观察窗口,同时对数据样本进行了进一步筛选,并计算总样本和根据影响因素分组的窗口期累积异常收益和累积平均异常收益。最后,在累积异常收益与其影响因素之间进行了多元回归分析,进而得出相关结论。本文的结构安排及结论如下：第一部分：介绍了本文的选题背景、选题意义、研究思路与框架以及特色之处。第二部分：定义了并购,并将并购按照不同标准进行了分类。另外,从价值视角出发,梳理介绍各种并购动机理论。第三部分：对国内外并购文献进行了梳理,主要分为国外相关文献综述和国内相关文献综述。第四部分：实证研究,定义样本数据研究时间窗口为(-20,20)天,研究了总体样本以及基于影响并购的不同因素分组的市场反应,主要结论如下： (1)从总体样本看,并购事件确实会对股价造成短期的冲击,特别在并购事件公告前,市场会出现异动,且这种异动会持续到公告后5天。 (2)根据影响并购事件市场反应的因素进行分组研究。通过对公司性质、是否为内幕交易、支付方式、是否为关联交易、分析师跟进人数及股东持股比例高低等六大因素进行逐项研究,我们发现投资者对于公司并购所采取的支付方式给予最强烈的反应,当上市公司并购采取股权支付时,则在公告前20个交易日就有正面的市场回应,在公告后第5个交易日达到最大值,累积异常收益甚至达到12.54%；对于并购是否为关联交易,投资者更加看好关联交易的并购；市场对国企的并购事件给予消极的反应,而民营企业的并购事件,市场的反应较积极,股价上涨；投资者可以识别出高的内幕交易和低的内幕交易,对高内幕交易的并购反应较差,而低内幕交易的并购,并购事件公布后,股价开始上涨；分析师跟进越多的公司,市场的反应越负面,而分析师跟进越少的公司,市场反应越好,在并购事件公告后股价上涨,然后累积异常收益持平；而根据十大流通股东持股比例分组后发现,持股比例越高的公司,市场对于并购事件更加的认同。 (3)对于累积异常收益进行多元回归分析。通过累积异常收益的多因素回归发现,支付方式哑变量正向地影响累积异常收益,关联交易哑变量对总体样本期间的异常收益也是正面影响,这种影响主要来源于并购事件发生之后这段时期。内幕交易变量总体上对异常收益有负面的影响,但是通过分时间段后回归发现,内幕交易变量对公告之前的收益是正面影响,内幕交易变量对总样本的负面影响主要归因于公告日后市场的负面反应。公司性质哑变量对累积异常收益具有负向的影响,即国有企业与累积异常收益负相关,民营企业性质与累积异常收益正相关。当发布并购消息时,分析师跟进越多的股票,在公告日前后异常收益均为负,说明更多分析师跟进的公司,在并购事件上,投资者并没有给予很好的评价。十大流通股东持股比例越高,异常累积收益越大,符合本文的预期,股东持股比例越高在并购决策更谨慎,投资者对公司的这种决策也更认可。第五部分：本文结论及对于实证结果的解释,根据以前学者的研究对实证发现的结果进行了解释。
[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.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F271;F276.6

【参考文献】