本文關鍵詞：中國上市公司并購重組公告短期和中期股價波動實證分析　出處：《上海交通大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： 上市公司 并購重組 事件分析法 公告日 超額收益率AAR 累計超額收益率CAR 內(nèi)幕交易

【摘要】：上市公司的并購重組一直是各國證券市場上理論和實踐的熱點，而且越來越成為證券市場資源配置和企業(yè)戰(zhàn)略轉型的主要環(huán)節(jié)。對于參與并購重組的上市公司來說，并購重組究竟能為企業(yè)的價值帶來什么樣的作用，本文就是基于這個出發(fā)點，采用事件研究法，對于中國參與并購重組事件上市公司的股票短期和中期收益進行研究分析。 本文共分5個部分，第一部分介紹并購重組的背景、意義以及研究的動機。第二部分是文獻綜述，回顧國內(nèi)外對并購重組研究的重要文獻。第三部分是研究模型的建立及所采用的實證方法。第四部分是運用事件分析法進行實證分析，包括總體樣本，并購重組雙方子樣本以及細分子樣本。第五部分是研究結論部分，并根據(jù)結論對監(jiān)管機構，上市公司以及投資者提出一些建議。 經(jīng)過對所選取的2010年間發(fā)生的上市公司并購重組事件的樣本篩選，一共361個總體樣本，進而進行分析得出：對于參與并購重組的中國上市公司在公告前11個交易日和前6個交易日至公告前一日可以顯著地獲得正的累計超額收益率（CAR），對于目標公司而言，前15個交易日就可以顯著地獲得正的累計超額收益率（CAR）。我們可以得出在并購重組公告前已經(jīng)有消息提前泄露，并有投資者參與內(nèi)幕交易，但是累計超額收益率最大不超過2%。其次，對于參與并購重組的中國上市公司在公告日當天就有著強烈的負面效應，，累計超額收益率CAR[0,0]顯著為負，達到-0.35%。短期來說，公告日后15天后的累計超額收益率CAR[0,15]顯著為負，達到-2.41%，使得公告日前的正的CAR消失殆盡。中期來說，公告日后90天后的累計超額收益率CAR[0,90]顯著為負，達到-8.15%，最后，對于參與并購重組雙方來考慮，目標公司短期和中期的累計超額收益率要比收購公司下跌得多，而且均在1%的水平上顯著為負。
[Abstract]:M & A of listed companies has always been a hot spot in theory and practice in the securities markets of various countries. And more and more become the stock market resources allocation and strategic transformation of the main link. For listed companies involved in mergers and acquisitions, mergers and acquisitions can bring value to the enterprise what kind of role. Based on this starting point, this paper analyzes the short and medium term returns of Chinese listed companies participating in M & A by using event research method. This paper is divided into five parts. The first part introduces the background, significance and motivation of M & A. the second part is a literature review. The third part is the establishment of the research model and the empirical methods adopted. Part 4th is the use of event analysis for empirical analysis, including the overall sample. The 5th part is the conclusion of the study and gives some suggestions to the regulators, listed companies and investors according to the conclusions. Based on the selected samples of M & A events of listed companies in 2010, there are 361 total samples. Then it is concluded that: for Chinese listed companies participating in M & A restructuring, they can significantly obtain positive cumulative excess return rate (car) in the first 11 trading days and 6 trading days before the announcement and 1st before the announcement. For target companies, the first 15 trading days can significantly achieve a positive cumulative excess yield. We can conclude that before the merger and restructuring announcement has been leaked in advance. And there are investors involved in insider trading, but the cumulative excess yield is not more than 2. Secondly, for the listed companies participating in M & A, there is a strong negative effect on the day of announcement. Cumulative excess rate of return CAR [In the short term, the cumulative excess rate of return (CAR) after 15 days after the announcement was significantly negative. [0 / 15] was significantly negative, reaching -2.41, which eliminated the positive CAR before the announcement date. In the medium term, the cumulative excess return CAR after 90 days after the announcement date. [0 / 90 is significantly negative, reaching -8.15. Finally, for both parties involved in M & A, the cumulative excess yield of the target company in the short and medium terms is much lower than that of the buy-out company. Both were significantly negative at the level of 1%.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F271;F832.51;F224

【引證文獻】

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7 陳燕;中國企業(yè)海外并購公告對其股票價格波動影響研究[D];河北工業(yè)大學;2014年

本文編號：1440848