公開收購宣告異常報酬率之探討－以台灣公司為例

Abnormal Returns of Tender Offer Announcement －An Empirical Study on Taiwan Companies

徐丸杏(Wan-Hsin Hsu)

指導教授 ： 胡為善 ； 李彥賢

中原大學/商學院/企業管理研究所/碩士(2016年)

https://doi.org/10.6840/cycu201600705

摘要

本研究主要係探討金管會於2012年7月所發佈的「修正公開收購相關辦法及準則」後，有關公開收購宣告的資訊揭露，是否會因投資目標公司之股票而獲致異常報酬率，並進一步探討有關不同的併購型態在特定期間內之宣告效果。
本研究採用事件研究法，以2012年7月修法後至2015年年底為研究期間。本研究實證結果發現，無論是採用OLS或是GARCH的估計模式，整個事件期均能產生顯著正向之累積異常報酬率，且投資公開收購之目標公司的股票在宣告日前，即能獲得顯著正向之平均異常報酬率，顯示宣告效果有提前反應之現象。而在公開收購之宣告當日，投資目標公司股票亦會產生顯著正向之平均報酬率，甚至在宣告日之後，投資目標公司之股票也會獲得顯著正向之平均報酬率，但愈接近併購完成日，其平均異常報酬率則愈小。
有關併購型態之比較，本研究發現，投資獲利報酬率最大之股票係來自在敵意併購形態下之標的公司，其次為來自水平式併購之標的公司；而在宣告日後，投資最大累積異常報酬率之股票係來自於垂直式併購之標的公司，其次為敵意併購之標的公司；但若刪除樣本數太少的標的公司或無漲跌幅限制的興櫃公司，本研究發現，在事件宣告日後，標的公司若為電子產業，且與主併公司同為水平併購模式時，投資該公司股票能較投資其他併購方式能獲得更大之報酬率。
雖然2012年7月公開收購修法的原意本是為保障股東，並減少對投資人資訊的不對稱性，但本研究發現，在宣告日前，併購消息卻常有提前漏出之現象。因此本研究建議，除了資訊需充分揭露外，企業更應秉持誠信經營及道德守則，以防範內線交易，俾能對股東及投資人提供最適切的資訊內容，進而作出最佳決策。

關鍵字

異常報酬 ； 事件研究 ； GARCH估計模式 ； 水平式併購 ； 敵意併購 ； 併購 ； OLS估計模式 ； 垂直收購

並列摘要

This study examines whether the disclosure of the information on acquisition announcement affects the target company's stock price or not after the amended public acquisition rules and regulations had been implemented by the FSC, Taiwan in July 2012. Additionally, if the disclosure of the acquisitions would yield the abnormal rate of return on investing target company’s stock, this investigation then explores the announcement effect for various mergers and acquisitions patterns during the specific period.
This study employs an event study method and the study period runs from July 2012 to December 31, 2015. Empirical results are summarized below:
1.Both the OLS estimates and GARCH results show that the entire event yields positive cumulative abnormal returns during the sample period.
2.This investigation finds that, a few days before the announcement of the mergers and acquisitions, investing the stock of the target company produces the significantly positive average abnormal rate of return, implying that the information on acquisitions had been leaked.
3.The average rate of return on investing the stock of the target company on the public announcement date is also significantly positive.
4.This investigation also finds that, after the announcement date, investing the stock of the target company still yields a significantly positive average rate of return. However, along with the completion day of mergers and acquisitions approaches, the average abnormal return rate decreases.
5.Empirical finding also shows that, on the announcement day, the maximum cumulative abnormal returns (i.e., the highest stock profits) are arising from investing the target company by hostile acquisition. The second highest profits are arising from the horizontal acquisitions. However, the highest stock profits after the announcement day are arising from investing the stock of the target company by vertical acquisitions. The second highest stock profits on the target company are arising from investing the stock of the target company by hostile acquisitions.
6.After deleting the companies whose sample size is too small or those company had been listed at the emerging stock market, then the highest stock profits after the announcement day are arising from investing the stock of the target company in the electronics industry by horizontal acquisitions.
In summary, although the major objective of the amendment of public acquisition act dated July 2012 was protecting the shareholders’ interests and reducing the information asymmetry for the investors. However, this investigation finds that the information on mergers and acquisitions had been leaked before the announcement day. Therefore, this study suggests that the relevant companies involved in the mergers and acquisitions should not only disclose the information completely, but also abide by the integrity of management and the code of business ethics to prevent from insider trading, in order to provide the most available information to investors and stockholders in order to make appropriate investment decisions.

並列關鍵字

Abnormal returns ； event study ； GARCH estimation model ； horizontal acquisitions ； hostile takeover ； mergers and acquisition ； OLS estimation model ； vertical acquisitions

參考文獻

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