中国A股上市公司要约收购套利策略有效性的实证研究

发布时间：2018-01-08 05:10

本文关键词：中国A股上市公司要约收购套利策略有效性的实证研究　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着中国股权分置改革的完成,上市公司并购风潮正在逐渐兴起,要约收购作为并购风潮中的主流形式为中国市场的要约收购套利带来了新的机会。本文通过研究股改后A股上市公司要约收购套利策略是否有效,以及当前的要约收购过程中是否存在内幕交易的问题,探寻中国要约收购套利的特殊性,并针对目标公司不同上市地点(上交所、深交所)、不同企业性质(国有控股、非国有控股),对照分析要约收购套利策略有效性的不同表现。文章在借鉴和吸收国外研究成果的基础上,运用事件研究法考查上市公司要约收购前后的二级市场表现,对中国A股股权分置改革以来(2005.06—-2012.12)中国上市公司的31起要约收购进行了套利有效性和收益性的全面分析。实证研究表明,在(-30,30)的事件窗内,对要约收购目标公司的股票进行套利的确可以获得超额回报,且统计检验显示套利累计超额收益率CAR的显著性较高。同时,分析不同市场和不同性质目标企业目前可实现较高超额收益的套利策略和并购信息的公告价值,得出的结果显示：在上海证券交易所发生的要约收购事件期内长期持有将是更佳策略,短线套利活动基本不会产生超额收益,而深圳证券交易所的要约并购套利策略更为灵活,长短期均存在套利机会；国有控股企业作为目标公司的并购事件存在内幕交易的可能性更高,可套利期较短,非国有控股企业涉及并购可在整个事件窗口期套利,灵活性更高。此外,根据AAR(-30,0)变动及显著性检验间接发现中国要约收购套利过程存在内幕交易的可能性,而深圳证券交易所涉及的并购套利存在内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.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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