中国上市公司并购重组公告短期和中期股价波动实证分析

发布时间：2018-01-18 12:03

本文关键词：中国上市公司并购重组公告短期和中期股价波动实证分析　出处：《上海交通大学》2012年硕士论文　论文类型：学位论文

【摘要】：上市公司的并购重组一直是各国证券市场上理论和实践的热点，而且越来越成为证券市场资源配置和企业战略转型的主要环节。对于参与并购重组的上市公司来说，并购重组究竟能为企业的价值带来什么样的作用，本文就是基于这个出发点，采用事件研究法，对于中国参与并购重组事件上市公司的股票短期和中期收益进行研究分析。本文共分5个部分，第一部分介绍并购重组的背景、意义以及研究的动机。第二部分是文献综述，回顾国内外对并购重组研究的重要文献。第三部分是研究模型的建立及所采用的实证方法。第四部分是运用事件分析法进行实证分析，包括总体样本，并购重组双方子样本以及细分子样本。第五部分是研究结论部分，并根据结论对监管机构，上市公司以及投资者提出一些建议。经过对所选取的2010年间发生的上市公司并购重组事件的样本筛选，一共361个总体样本，进而进行分析得出：对于参与并购重组的中国上市公司在公告前11个交易日和前6个交易日至公告前一日可以显著地获得正的累计超额收益率（CAR），对于目标公司而言，前15个交易日就可以显著地获得正的累计超额收益率（CAR）。我们可以得出在并购重组公告前已经有消息提前泄露，并有投资者参与内幕交易，但是累计超额收益率最大不超过2%。其次，对于参与并购重组的中国上市公司在公告日当天就有着强烈的负面效应，，累计超额收益率CAR[0,0]显著为负，达到-0.35%。短期来说，公告日后15天后的累计超额收益率CAR[0,15]显著为负，达到-2.41%，使得公告日前的正的CAR消失殆尽。中期来说，公告日后90天后的累计超额收益率CAR[0,90]显著为负，达到-8.15%，最后，对于参与并购重组双方来考虑，目标公司短期和中期的累计超额收益率要比收购公司下跌得多，而且均在1%的水平上显著为负。
[Abstract]:M & A of listed companies has always been a hot spot in theory and practice in the securities markets of various countries. And more and more become the stock market resources allocation and strategic transformation of the main link. For listed companies involved in mergers and acquisitions, mergers and acquisitions can bring value to the enterprise what kind of role. Based on this starting point, this paper analyzes the short and medium term returns of Chinese listed companies participating in M & A by using event research method. This paper is divided into five parts. The first part introduces the background, significance and motivation of M & A. the second part is a literature review. The third part is the establishment of the research model and the empirical methods adopted. Part 4th is the use of event analysis for empirical analysis, including the overall sample. The 5th part is the conclusion of the study and gives some suggestions to the regulators, listed companies and investors according to the conclusions. Based on the selected samples of M & A events of listed companies in 2010, there are 361 total samples. Then it is concluded that: for Chinese listed companies participating in M & A restructuring, they can significantly obtain positive cumulative excess return rate (car) in the first 11 trading days and 6 trading days before the announcement and 1st before the announcement. For target companies, the first 15 trading days can significantly achieve a positive cumulative excess yield. We can conclude that before the merger and restructuring announcement has been leaked in advance. And there are investors involved in insider trading, but the cumulative excess yield is not more than 2. Secondly, for the listed companies participating in M & A, there is a strong negative effect on the day of announcement. Cumulative excess rate of return CAR [In the short term, the cumulative excess rate of return (CAR) after 15 days after the announcement was significantly negative. [0 / 15] was significantly negative, reaching -2.41, which eliminated the positive CAR before the announcement date. In the medium term, the cumulative excess return CAR after 90 days after the announcement date. [0 / 90 is significantly negative, reaching -8.15. Finally, for both parties involved in M & A, the cumulative excess yield of the target company in the short and medium terms is much lower than that of the buy-out company. Both were significantly negative at the level of 1%.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F271;F832.51;F224

【引证文献】