Zivney (1996)的研究發現當公司有併購傳聞時,市場會過度反應此消息。而本研究延伸Zivney(1996),針對1981年到2009年的美國主併公司採用市場模型(Market Model)與三因子模型(Three Factor Model),探討在不同的傳言傳出後針對後續有無併購成功,研究併購傳言對主併公司異常報酬的影響。本文也將主併公司的公司特性變數納入分析,包括Tobin's Q比率、帳面市價比、利息保障倍數、投資變動額、再投資報酬率、公司過去併購成功與公司出面澄清的次數等,研究公司特性對異常報酬的影響,試圖分析不同的傳言樣本是否可以歸納其公司特性,讓投資人在未來有併購傳言時有依可循。另外本研究也探討公司在一個月內與一個月後澄清傳言對於主併公司股價所帶來的影響。
Zivney (1996) provide evidence suggesting that the market overreacts to takeover rumors. This study extends Zivney et al. by investigating the effect of takeover rumors on the stock performance of the acquiring companies in the United States around the rumor announcement dates using data between 1981 and 2009. ,as well as identifying the factors that may cause the differences. We examines the effect of takeover rumors on the stock price of the acquiring firms,using market model and three-factor model to test if acquiring firms’s stock in the performance of abnormal return when the rumor is true or false,as well as we also examines if clarification will have the negative effect on the stock price of acquiring firms,and tries to find what company characteristics factor will affect the cumulative abnormal returns of acquiring firms.