本文關(guān)鍵詞：中國(guó)A股上市公司要約收購(gòu)套利策略有效性的實(shí)證研究　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 并購(gòu)套利 事件研究法 信息價(jià)值

【摘要】：隨著中國(guó)股權(quán)分置改革的完成,上市公司并購(gòu)風(fēng)潮正在逐漸興起,要約收購(gòu)作為并購(gòu)風(fēng)潮中的主流形式為中國(guó)市場(chǎng)的要約收購(gòu)套利帶來(lái)了新的機(jī)會(huì)。本文通過(guò)研究股改后A股上市公司要約收購(gòu)套利策略是否有效,以及當(dāng)前的要約收購(gòu)過(guò)程中是否存在內(nèi)幕交易的問(wèn)題,探尋中國(guó)要約收購(gòu)套利的特殊性,并針對(duì)目標(biāo)公司不同上市地點(diǎn)(上交所、深交所)、不同企業(yè)性質(zhì)(國(guó)有控股、非國(guó)有控股),對(duì)照分析要約收購(gòu)套利策略有效性的不同表現(xiàn)。文章在借鑒和吸收國(guó)外研究成果的基礎(chǔ)上,運(yùn)用事件研究法考查上市公司要約收購(gòu)前后的二級(jí)市場(chǎng)表現(xiàn),對(duì)中國(guó)A股股權(quán)分置改革以來(lái)(2005.06—-2012.12)中國(guó)上市公司的31起要約收購(gòu)進(jìn)行了套利有效性和收益性的全面分析。 實(shí)證研究表明,在(-30,30)的事件窗內(nèi),對(duì)要約收購(gòu)目標(biāo)公司的股票進(jìn)行套利的確可以獲得超額回報(bào),且統(tǒng)計(jì)檢驗(yàn)顯示套利累計(jì)超額收益率CAR的顯著性較高。同時(shí),分析不同市場(chǎng)和不同性質(zhì)目標(biāo)企業(yè)目前可實(shí)現(xiàn)較高超額收益的套利策略和并購(gòu)信息的公告價(jià)值,得出的結(jié)果顯示：在上海證券交易所發(fā)生的要約收購(gòu)事件期內(nèi)長(zhǎng)期持有將是更佳策略,短線套利活動(dòng)基本不會(huì)產(chǎn)生超額收益,而深圳證券交易所的要約并購(gòu)套利策略更為靈活,長(zhǎng)短期均存在套利機(jī)會(huì)；國(guó)有控股企業(yè)作為目標(biāo)公司的并購(gòu)事件存在內(nèi)幕交易的可能性更高,可套利期較短,非國(guó)有控股企業(yè)涉及并購(gòu)可在整個(gè)事件窗口期套利,靈活性更高。此外,根據(jù)AAR(-30,0)變動(dòng)及顯著性檢驗(yàn)間接發(fā)現(xiàn)中國(guó)要約收購(gòu)套利過(guò)程存在內(nèi)幕交易的可能性,而深圳證券交易所涉及的并購(gòu)套利存在內(nèi)幕交易的可能性更高。
[Abstract]:With the completion of the split share structure reform in China, the trend of mergers and acquisitions of listed companies is rising gradually. As the mainstream form of M & A, tender offer brings a new opportunity for China's tender offer arbitrage. This paper studies whether the arbitrage strategy of A-share listed companies is effective. And the current tender offer process whether there is the problem of insider trading, explore the particularity of China's tender offer arbitrage, and target companies in different listed places (Shanghai Stock Exchange, Shenzhen Stock Exchange). Different enterprises (state-owned holding, non-state-owned holding, contrastive analysis of the effectiveness of tender offer arbitrage strategy performance. The article on the basis of reference and absorption of foreign research results. Using event study method to examine the secondary market performance of listed companies before and after the takeover offer. This paper makes a comprehensive analysis of the arbitrage effectiveness and profitability of 31 offers made by listed companies in China since the reform of China's A share equity split structure from May 06 to February 12, 2012. The empirical study shows that in the event window, the stock arbitrage of the target company can indeed achieve excess return. And the statistical test shows that arbitrage cumulative excess return CAR is significant. At the same time. This paper analyzes the arbitrage strategy and the announcement value of M & A information which can achieve higher excess returns in different markets and different target enterprises. The results show that long-term holding will be a better strategy and short-term arbitrage activities will not produce excess returns. The arbitrage strategy of the Shenzhen Stock Exchange is more flexible and there are arbitrage opportunities in the long and short term. The possibility of insider trading in M & A of state-owned holding enterprises as target companies is higher, the arbitrage period is shorter, the non-state-owned holding enterprises involved in M & A can arbitrage in the whole event window, and the flexibility is higher. According to the change of AAR-30 / 0) and the significance test, it is indirectly found that there is the possibility of insider trading in the arbitrage process of China's tender offer. The Shenzhen Stock Exchange involved in M & A arbitrage is more likely to insider trading.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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本文編號(hào)：1395740