由樂陞事件看購併案對可轉換公司債關聯影響

近幾年來增加許多發行公司以「合併」或「收購」方式帶動企業成長與轉型，顯示企業亦將公開收購列為企業購併的主要方式之一。本研究主要動機因百尺竿頭數位娛樂公司公告關於樂陞科技的公開收購案之後，樂陞自發佈收購開始股本從上市1.2億至2012年大幅增長達6億，股價也水漲船高，且因收購破局使得樂陞股價從高點跌落谷底，投資者人心惶惶，對於合併案件存有疑慮；因此，本研究應用Copula關聯結構分析，探討幾個公告併購前後個案公司，包括敦泰(3545)、晶電(2448)、凱美(5317)、奇力新(2456)、如興(4414)、樂陞(3662)之股價與其可轉換公司債價格之變化。實證結果顯示，大部分個案公司的股價與可轉債之間的Copula Kendall’s Tau在購併前，以Student t Copula較佳，占11分之7；而購併後則以Clayton Copula較佳，占11分之9；另外，奇力新(2456)及奇力新四(24567)；樂陞(3662)及樂陞六(36626)在購併後，關聯程度降低外，其餘各檔在購併後的關聯程度均提高；但價格卻呈利空出盡現象。本文的實證結果可做為理論及政策或投資實務上的參考。

關鍵字

樂陞事件；百尺竿頭；購併；可轉換公司債； Copula模型

並列摘要

In recent years, many listed companies have grown and transformed by "merging" or "acquiring", showing that companies use tender offer as the main way to do merging and acquiring. The study was motivated by the surge of XPEC Entertainment’s (XPEC) capital from 120 million NTD to 600 million and its stock price since Bai Chi Gan Tou Digital Entertainment (Bai Chi Gan Tou) announced the acquisition of XPEC Entertainment. However, the failure of this M&A case caused the XPEC’s stock price to plunge and investors to be panic and worry about the case is also the motivation of this thesis. The study utilizes Copula analysis to discuss the relations between stock prices and convertible bond prices in a few M&A cases including Focaltech (3545), Epistar (2448), Kaimei (5317),Chilisin (2456), Roo Hsing(4414) and XPEC (3362), etc. The empirical results show that before the M&A events, Student t Copula is better in most cases accounting for 7/11 in the Copula Kendall’s Tau between stock prices and convertible bond prices; the Clayton Copula is better accounting for 9/11 after M&A events. In addition, the correlations between Chilisin’s stock price and its convertible price and XPEC’s stock price and its convertible price have lowered since M&A, but the correlations of other cases all increased and the stock prices declined as the M&A positive news already priced in before the official announcement. The empirical results are the ideal references for academics, policy and investment.

並列關鍵字

XPEC incident ； Bai Chi Gan Tou ； Mergers and acquisitions ； Convertible bonds ； Copula model

參考文獻

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3. 王浚宇(2007) ，NBA外籍球員薪資與效率衡量之關聯性研究，國立政治大學會計研究所碩士論文。

1. Agrawal, A. , J. F. Jaffe and G. N. Mandelker（1992）, “The Post-Merger Performance of Acquiring Firms: A Re-examination of an Anomaly,” The Journal of Finance , Vol.47, No. 4, pp.1605–1621

2. Asquith, B. and Mullins（1987）, “The Use of Warrants in Mergers and Acquisitions,” Advances in Financial Economics, Vol.14 , pp.65-86

3. Banerjee, A. and E. W. Eckard（1998）, “Are Mega-Mergers Anti-Competitive Evidence from the First Great Merger Wave,” The RAND Journal of Economics, Vol. 29, No. 4, pp. 803-827

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由樂陞事件看購併案對可轉換公司債關聯影響

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