台灣企業併購後違約風險增加成因之研究

The Study on Determinants of Mergers Increasing Default Risk in Taiwan’s Company

黃芳草(HOANG PHUONG THAO)

指導教授 ： 林益倍 ； 李瑞琳

朝陽科技大學/管理學院/財務金融系/碩士(2020年)

摘要

近年來，由於全球化及擴大市場占有率促使許多大型企業尋求國內、外有利的合併和收購機會，以擴大規模。但並不是所有的併購都能成功，也有併購導致公司破產。因此，本研究針對台灣併購市場探討哪些因素可能導致企業違約風險增加，以避免企業違約風險增加。本文使用Merton（1974）違約機率來衡量主併公司違約可能性，並使用羅吉斯(logistic)迴歸模型探討購併前一個月有關市場面變數、財務面變數、併購交易面變數等是否會影響主併公司違約機率增加的成因。結果表明，購併前持有6個月平均月報酬、股東權益股票標準差、股票週轉率等市場面資訊、托賓Q (Tobin's Q)、營業毛利率、權益股東報酬率(ROE)、固定資產週轉率等之財務面變數、以及虛擬變數包括複合式併購、現金支付、混合式支付及股東會決議之併購交易等會影響違約機率增加。其中持有期間平均報酬、股票報酬標準差、營業毛利率、ROE、以及大部分併購交易資訊會顯著負向影響違約風險增加。另一方面，股票週轉率、Tobin’s Q及固定資產週轉率會顯著正向影響。值得關注的是股東會決議的併購案例絕大多數會導致公司違約風險增加，但並無證據顯示董事會決議也有相同結果產生。

關鍵字

羅吉斯迴歸模型 ； 違約風險 ； 併購 ； 股東會決議

並列摘要

In recent years, due to globalization and expanding market share, many large enterprises have sought favorable merger and acquisition opportunities at home and abroad to expand their scale. But not all mergers and acquisitions can be successful, and some mergers and acquisitions lead to company bankruptcy. Therefore, this study examines the determinants of an increase in the corporate default risk in events of Taiwan M&A activities. This paper computes default probability proposed by Merton's (1974) and uses a logistic regression model reducing the effect of confounding factors. We consider multiple explanatory variables within 1 month before the acquisition, including market variables (average monthly return during holding 6 months, volatility, and turnover rate), financial variables (Tobin’s Q, ROE, profit margin, fixed asset turnover ratio), and dummy variables of M&A transaction information variables (cross-border, cash or/and stock payments, cross-industry, resolutions of the shareholders meeting, and managers forward optimistic). Our results show that explanatory variables for average holding monthly return for 6 months (AVER), the volatility, turnover rate, Tobin’s Q, profit margin, return on equity (ROE), fixed asset turnover ratio and dummy variables for most M&A transaction information can influence an increase in the default probability. It is of interest to note that AVER, volatility, ROE, profit margin, and dummy variables for most M&A transaction information negatively correlate with an increase in default risk but positive relate with turnover rate, Tobin’s Q, and fixed asset turnover ratio. Similar results are found to be positive relation between resolutions of the shareholders meeting and an increase in default risk, but board resolution fails to explain an increase in default risk. Our findings could shed valuable insights on the determinants of an increase in the corporate default risk in events of Taiwan M&A activities.

並列關鍵字

logistic regression model ； default risk ； Merger and Acquisition ； resolutions of the shareholders meeting

參考文獻

中文部分

1. 朱心怡(1999)，購併型態對股東財富的影響，碩士論文，東吳大學企業管理學系。

2. 傳志偉(1999)，收購與合併對公司營運績效影響之分析，碩士論文，國立中山大學財務管理學系。

3. 蘇榮晟(2000)，以財務面衡量企業購併績效之研究-台灣企業為例，碩士論文，東吳大學企業管理學系。

4. 蔡佩玲(2000)，以違約距離、違約指標與公司成長指標預測公司違約風險，碩士論文，朝陽科技大學保險金融管理系。