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论文编号：	2392
作者编号：	2120082113
上传时间：	2010/6/9 22:21:06
中文题目：	中国上市公司并购公告效应研究
英文题目：	Research on M&A Announcement Effect of China’s Listed Companies
指导老师：	李莉
中文关键字：	并购公司,公告效应,市场景气度,行为金融学
英文关键字：	Acquiring Corporate,Announcement Effect,The Indication of Market,Behavioral Finance
中文摘要：	近年来，并购作为一种有效资源整合方式已然成为我国企业谋求发展的重要途径。2006年我国股权分置改革基本完成，资本市场有效性得以提高。同时，新《公司法》、《证券法》、《上市公司收购管理办法》等政策法规的颁布与实施，对提高上市公司质量，完善公司治理水平，规范企业并购活动做出贡献，促进了中国上市公司并购交易的快速发展。2008年爆发的国际金融危机导致很多企业资产贬值，资金流动性严重受损，对于有实力的公司来说，此时利用并购进行资源整合可能是成本较低的一种发展方式。 目前国内外关于并购公告效应的研究并没有形成一致的结论，有的文献认为并购公告能够给并购公司带来显著正效应，但也有相当多文章认为并购事件并产生负的公告效应或者并未产生显著的公告效应。而且多数文章对并购公告效应的解释比较简单，对并购公告效应影响因素的研究缺乏系统性。基于此，本文以并购公司为研究对象，分析并购公告效应及其影响因素。同时金融危机背景下，以理性人及市场有效性为前提的现代金融理论越来越受到质疑，因此本文尝试将行为金融学的变量引入文章，以期得到更为合理的结论。 本文以企业并购公告效应理论及文献为基础，首先定性的分析了当前中国上市公司并购现状以及并购公告效应的影响因素；然后以2007-2009年的50个并购交易为样本，运用事件研究法对不同窗口期内的累积异常收益率进行计算及检验，观测并购公告的市场反应；进而选取较为显著窗口期的数据，利用多元线性回归的方法来探求本文选取的各解释变量对累积异常收益率的影响。 通过研究，本文发现在证券公告日及短时间窗口期内并购公告效应显著为正，但在长时间窗口期内没有显著的市场反应。并购公告效应影响因素的回归结果显示：市场景气度与累积异常收益率存在一定程度的正相关，最终控制人及Z指数与累积异常收益率显著负相关；市盈率、净资产收益率等其它变量的回归结果与本文假定不一致。本文认为我国上市公司并购市场上投资者与管理者的非理性行为仍然存在，表明行为金融学在我国上市公司并购市场的研究上具有一定的适用性。
英文摘要：	Nowadays, M&A, which is a way of integrating various resources, has become the most important growth channel for China’s Listed Companies. After the shareholder structure reform of our country in 2006, the capital market efficiency had been improved greatly. The implementation of relevant laws about M&A promoted the improvement of listed companies’ quality and governance level, and pushed rapid development of M&A. In the special period of Financial Crisis, many companies’ assets were devaluated, and the capital chain was affected. Under this background, the cost of M&A is lower. Therefore, it is an opportunity for outstanding companies to integrate resources in the way of M&A. At present, regarding the reaction of the M&A announcement, many scholars, both china or not, have great interest to advocate some modes or hypothesis. But there is still no coincident conclusion. Some studies concluded that announcement effect of M&A was significantly positive, while others held that it was significantly negative or there is no significant reaction. But in majority of previous papers, it is simple in the problem that why the announcement effect is positive or negative. And under the background of financial crisis, modern financial theory, which is based on the assumptions of rational individual and efficiency market, is doubted by many scholars. Based on above, for the reasonable conclusion, this paper makes the acquiring corporate as the research object, and introduces the variable of behavioral finance. This paper bases on the theory and studies of announcement effect, firstly analyzes the process and influencing factors of China’s Listed Companies’ M&A. Secondly, we choose 50 M&A corporate as the research sample, and analyze them taking advantage of event study. Thirdly, we use multiline regression model to observe the result of all the variables which may affect the announcement effect. The main conclusions of this paper include: firstly, in the announcing day and two different short period, the announcement effect of M&A is significantly positive, while in the long period, there is no significant reaction; secondly, we find that the variable market is positively related with CAR, corporate controller and Z index are negatively related with CAR. But the results of other variables are not coincident with the previous assumption. Based on above, we holds that people in the capital market of our country are not rational, and the behavioral finance is applicant for the market of M&A in China.
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