本篇論文主要目的在討論當公司宣告資產出售時,對該公司的競爭者廠商所可能產生的股價影響。首先以事件研究法及簡單迴歸分析來驗證訊息的競爭效果。之後,則進一步以羅吉斯迴歸分析,來探討公司特質等各項因素對出售資產效果的影響。 本研究站在宣告出售的公司和競爭同業的立場,探討多角化能否為公司競爭力提供助益,進而創造財富價值。吾人採用量化的事件研究方法,直接衡量公司宣告出售後開啟新的競爭局面時,資本市場如何快速並即時地評價宣告公司與競爭對手的股東價值。另一方面,實證結果發現,利用整體樣本所得到的超額報酬結果發現,當公司宣布資產出售時,對其競爭者廠商會產生負面股價影響。而未來可更進一步探討發掘誘發出售資產因子及修正預測模型,使預測公司出售資產之結果更佳。
The main purpose of this thesis is to explore how the company asset sale affects competitors’ stock price. First, I use event study methodology and simple regression analysis to examine the competitive effects of the asset sale announcement. Second, logistic regression analysis is employed to explore the impact of company characteristics and other factors on the asset sale. This study also explores whether the diversified company can compete more efficiently, and thus create wealth value after asset sale. I adopt the event study methodology to directly measure the effect of asset sale on the value of the shareholders of the company and its competitors. Further, the empirical results show that announcing firm experience positive excess returns; meanwhile its competitors have negative stock price impact. Future research can further explore other factors and correct forecasting model to predict the results of the sale of assets better.