错误定价、套利风险和机构持股对并购市场绩效影响的研究

发布时间：2017-12-31 22:04

本文关键词：错误定价、套利风险和机构持股对并购市场绩效影响的研究　出处：《吉林大学》2017年硕士论文　论文类型：学位论文

【摘要】：在新常态下,中国经济的供给侧改革掀起了新一轮的公司并购热潮。在公司并购日益成为国家宏观经济政策实现手段的背景下,对于中国资本市场中公司并购损益之谜的争论一直未曾休止。尽管许多研究已经发现,多数中国上市公司的并购行为损害了股东的长期收益,但国内对于并购市场绩效影响因素的多数研究未能跳出基于有效资本市场假定的现代金融学研究范式。而本文则基于新兴的行为金融理论,研究了并购公司并购前的错误定价对并购市场绩效的影响,以及套利风险和机构持股在这一关系中的调节作用和中介作用。本文首先对公司并购与并购市场绩效之间关系的前人文献以及错误定价、套利风险和机构持股对上市公司并购影响的相关研究进行了梳理和评述,其后对信息不对称理论、有限套利理论和投资者情绪理论等相关理论进行了详细分析。在此基础上提出了本文的研究假设,即错误定价对并购市场绩效的影响,套利风险对错误定价和并购市场绩效之间关系的调节作用,以及机构持股对错误定价、套利风险和并购市场绩效之间关系的中介作用。为了实证检验本文的研究假设,本文选取了2004年第一季度至2013年第四季度的中国沪深两市A股上市公司并购事件作为研究样本。通过交叉分组的长期事件研究法计算并购后的买入并持有异常收益率用以衡量并购市场绩效,通过行业调整市账率衡量错误定价,通过市场模型估计的股票异质波动性衡量套利风险,通过机构投资者持股比例的变动量衡量机构持股。本文的研究发现,在中国资本市场的多数并购事件中,并购公司股东的长期市场收益遭受了损失。在对研究假设进行实证回归后,本文进一步得出了如下结论。首先,错误定价对并购市场绩效具有负向影响,而且这种不利影响会随着时间的推移逐渐加强。其次,套利风险对错误定价和并购市场绩效之间的关系具有干扰型调节作用,从而降低了资本市场的有效性;但在中长期调节作用出现了由干扰型转变为增强型的迹象,由此增加了资本市场的波动性和并购公司的市场风险。最后,机构持股能够中介错误定价对并购市场绩效的影响,但对于套利风险和并购市场绩效之间关系的影响并不显著;机构投资者持股比例变动量可以用于预测并购公司的短期并购市场绩效,但并不能用于对长期市场绩效的预测;机构投资者并非严格意义上的理性套利者,其对资本市场有效性的改善作用较为有限。在研究结论的基础上,本文对并购公司的管理层、机构投资者、中小投资者和市场监管部门提出了政策性建议,以期改进其在上市公司并购过程中的相关决策;此外本文还针对研究的局限和展望进行分析,为其他学者的未来研究提供了一些可行的建议。
[Abstract]:In the new normal, the supply-side reform of China's economy has set off a new wave of corporate M & A, under the background that corporate M & A has increasingly become the national macroeconomic policy means. The debate over the gains and losses of mergers and acquisitions in China's capital markets has been endless, although many studies have found that most Chinese listed companies' mergers and acquisitions hurt shareholders' long-term gains. However, most of the researches on the factors influencing the performance of M & A market have not jumped out of the paradigm of modern finance based on the hypothesis of efficient capital market, and this paper is based on the emerging behavioral finance theory. The influence of mispricing before M & A on M & A market performance is studied. As well as arbitrage risk and institutional shareholding in this relationship in the regulatory role and intermediary role. Firstly, this paper discusses the relationship between M & A and M & A market performance of previous literature and mispricing. Arbitrage risk and institutional shareholding impact on M & A of listed companies are reviewed and reviewed, followed by asymmetric information theory. Based on the theory of limited arbitrage and investor sentiment theory, this paper puts forward the research hypothesis, that is, the influence of mispricing on the performance of M & A market. Arbitrage risk on the relationship between mispricing and M & A market performance, and institutional ownership of the wrong pricing. The intermediation of the relationship between arbitrage risk and M & A market performance. From in the first quarter of 2004 to in the fourth quarter of 2013, the M & A events of A-share listed companies in Shanghai and Shenzhen stock markets in China are selected as the research samples. The long-term event research method of cross-grouping is used to calculate the buying after M & A. And hold abnormal returns to measure M & A market performance. We measure mispricing through industry adjustment market book rate, arbitrage risk by stock heterogeneity volatility estimated by market model, and institutional shareholding by the change of institutional investors' shareholding ratio. In most M & A events in China's capital market, the long-term market income of M & A shareholders has suffered losses. After empirical regression of the research hypothesis, this paper further draws the following conclusions. Mispricing has a negative impact on M & A market performance, and this adverse impact will gradually strengthen with the passage of time. Secondly. Arbitrage risk has interference regulation effect on the relationship between mispricing and M & A market performance, thus reducing the effectiveness of capital market; However, in the medium and long term, there are signs of changing from interference to enhancement, which increases the volatility of capital market and the market risk of mergers and acquisitions. Finally. Institutional shareholding can mediate the impact of mispricing on M & A market performance, but the impact on the relationship between arbitrage risk and M & A market performance is not significant. The change of institutional investors' shareholding ratio can be used to predict the short-term M & A market performance of M & A companies, but it can not be used to predict the long-term market performance of M & A companies. Institutional investors are not rational arbitrage in the strict sense, and their effect on the improvement of the effectiveness of the capital market is limited. On the basis of the research conclusions, this paper deals with the management and institutional investors of M & A companies. Small and medium-sized investors and market regulatory departments put forward policy recommendations in order to improve their decision-making in the process of mergers and acquisitions of listed companies; In addition, this paper analyzes the limitations and prospects of the research, and provides some feasible suggestions for the future research of other scholars.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F271

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