香港分拆市場之長期股價表現

The Long-Run Stock Returns of Hong Kong Spinoffs

魏家琪(Chia-Chi Wei)

指導教授 ： 李存修

國立臺灣大學/管理學院/商學研究所/碩士(2017年)

https://doi.org/10.6342/NTU201701309

摘要

過去有不少美國文獻指出，分拆公司及其母公司的長期股價表現通常優於大盤。本研究選取香港股票市場2005年至2014年間曾進行分拆上市的42間母公司及40間子公司，探討母、子公司在分拆後半年、一年及兩年的股價表現。

研究結果顯示，與恆生股息累計指數或行業股息累計指數比較，子公司在所有期間皆具有正的異常報酬，且大部分情況下有統計顯著性；母公司在分拆後一年、兩年也具有正的異常報酬，但是皆不顯著；此外，經產業集中度調整後的分拆母、子公司，其報酬表現皆更為優異。

本研究又各剔除一間最大正報酬的母、子公司後，發現子公司的異常報酬驟降，母公司甚至就無異常報酬；最後本研究以個案分析的方式探討這兩間公司的巨大漲幅來源，發現投資人事前幾乎無法自行挑選到會有極大報酬的公司。

關鍵字

香港 ； 分拆 ； 超額報酬

並列摘要

Many prior studies suggest that investing in both parent companies and their spun-off subsidiaries is the route to beat the market. We focus on Hong Kong stock market, and examine the buy and hold abnormal return of spun-off subsidiaries and parent companies over periods of 6, 12, and 24 months following spin-offs. The sample consists of 40 spinoffs and 42 parent firms that occurred from 2005 to 2014.

The result shows that excess returns for spun-off subsidiaries and parent companies are positive over almost all holding periods, but only the results of subsidiaries appear statistically significant. Besides both focus-increasing spinoffs and parent companies have larger excess return than corresponding non- focus-increasing companies.

The excess return of spinoffs and parents are pulled down after removing the company with the highest return. Lastly, we analyze the reason why these two companies have such a great return, and find it almost impossible for investor to select securities beforehand.

並列關鍵字

Hong Kong ； spinoff ； excess return

參考文獻

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