- 學位論文
預測併購標的與投資組合績效分析
Predicting Takeover Target and Analysis of Portfolio Performance
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摘要
此篇論文研究影響成為併購標的重要因子以及基於預測模型形成之投資組合獲取超額報酬的能力。併購標的預測模型使用羅吉斯迴歸模型，樣本使用2001-2014年台灣上市櫃公司共併購標的180筆、非併購標的13,705筆，時間橫跨2003-2007年牛市與2008年金融海嘯，歷經完整的景氣循環。實證結果發現股東報酬率、稅前淨利率與成為併購標的之機率呈負相關，稅前息前折舊攤銷前獲利率、營收成長率、淨值、本益比、三個月來報酬率與併購機率呈正相關。模型樣本外測試的正確預測率高達83.5%，標的預測正確率為66.67%，非標的預測正確率為83.4%，投資組合在2014年獲得35.6%報酬率，相比同期台股大盤指數為8.1%。為了測試此模型的持續性，以五年為一個循環自2001年開始做樣本外的Rolling Test，自投資期間開始2006年直到2014年可以獲得年化報酬率14.71%，高於市場的3.91%。
並列摘要
This thesis studies the influence factors of takeover prediction and the potential to generate excess return based on the prediction model in Taiwan market. A takeover prediction model is developed using logit regression and a sample of 180 targets and 13,705 non-target observation from Taiwan listed companies from 2001 to 2014. Research period across 2003-2007 bull market and 2008 financial crisis, a completed economic cycle. The empirical analysis finds significant negative influence of ROE, earning before tax as well as positive relations of EBITDA, sales growth, book value, PE ratio, 3 month return on takeover probability. An out-of-sample test for 2014 found a predictive accuracy of 83.5% for the model, identifying 66.67% of target and 83.4% of non-targets correctly. The portfolio get return of 35.6%, higher than market portfolio with return of 8.1% in 2014. For clarifying the extension of the model, the thesis form a rolling test from 2006-2013 to test portfolio performance. The portfolio realized compound annual return 14.71% compared to market portfolio return of 3.91%.
參考文獻
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