發(fā)布時(shí)間：2017-12-31 22:04

  本文關(guān)鍵詞：錯(cuò)誤定價(jià)、套利風(fēng)險(xiǎn)和機(jī)構(gòu)持股對(duì)并購(gòu)市場(chǎng)績(jī)效影響的研究　出處：《吉林大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 并購(gòu)市場(chǎng)績(jī)效 錯(cuò)誤定價(jià) 套利風(fēng)險(xiǎn) 機(jī)構(gòu)持股

【摘要】：在新常態(tài)下,中國(guó)經(jīng)濟(jì)的供給側(cè)改革掀起了新一輪的公司并購(gòu)熱潮。在公司并購(gòu)日益成為國(guó)家宏觀經(jīng)濟(jì)政策實(shí)現(xiàn)手段的背景下,對(duì)于中國(guó)資本市場(chǎng)中公司并購(gòu)損益之謎的爭(zhēng)論一直未曾休止。盡管許多研究已經(jīng)發(fā)現(xiàn),多數(shù)中國(guó)上市公司的并購(gòu)行為損害了股東的長(zhǎng)期收益,但國(guó)內(nèi)對(duì)于并購(gòu)市場(chǎng)績(jī)效影響因素的多數(shù)研究未能跳出基于有效資本市場(chǎng)假定的現(xiàn)代金融學(xué)研究范式。而本文則基于新興的行為金融理論,研究了并購(gòu)公司并購(gòu)前的錯(cuò)誤定價(jià)對(duì)并購(gòu)市場(chǎng)績(jī)效的影響,以及套利風(fēng)險(xiǎn)和機(jī)構(gòu)持股在這一關(guān)系中的調(diào)節(jié)作用和中介作用。本文首先對(duì)公司并購(gòu)與并購(gòu)市場(chǎng)績(jī)效之間關(guān)系的前人文獻(xiàn)以及錯(cuò)誤定價(jià)、套利風(fēng)險(xiǎn)和機(jī)構(gòu)持股對(duì)上市公司并購(gòu)影響的相關(guān)研究進(jìn)行了梳理和評(píng)述,其后對(duì)信息不對(duì)稱理論、有限套利理論和投資者情緒理論等相關(guān)理論進(jìn)行了詳細(xì)分析。在此基礎(chǔ)上提出了本文的研究假設(shè),即錯(cuò)誤定價(jià)對(duì)并購(gòu)市場(chǎng)績(jī)效的影響,套利風(fēng)險(xiǎn)對(duì)錯(cuò)誤定價(jià)和并購(gòu)市場(chǎng)績(jī)效之間關(guān)系的調(diào)節(jié)作用,以及機(jī)構(gòu)持股對(duì)錯(cuò)誤定價(jià)、套利風(fēng)險(xiǎn)和并購(gòu)市場(chǎng)績(jī)效之間關(guān)系的中介作用。為了實(shí)證檢驗(yàn)本文的研究假設(shè),本文選取了2004年第一季度至2013年第四季度的中國(guó)滬深兩市A股上市公司并購(gòu)事件作為研究樣本。通過(guò)交叉分組的長(zhǎng)期事件研究法計(jì)算并購(gòu)后的買入并持有異常收益率用以衡量并購(gòu)市場(chǎng)績(jī)效,通過(guò)行業(yè)調(diào)整市賬率衡量錯(cuò)誤定價(jià),通過(guò)市場(chǎng)模型估計(jì)的股票異質(zhì)波動(dòng)性衡量套利風(fēng)險(xiǎn),通過(guò)機(jī)構(gòu)投資者持股比例的變動(dòng)量衡量機(jī)構(gòu)持股。本文的研究發(fā)現(xiàn),在中國(guó)資本市場(chǎng)的多數(shù)并購(gòu)事件中,并購(gòu)公司股東的長(zhǎng)期市場(chǎng)收益遭受了損失。在對(duì)研究假設(shè)進(jìn)行實(shí)證回歸后,本文進(jìn)一步得出了如下結(jié)論。首先,錯(cuò)誤定價(jià)對(duì)并購(gòu)市場(chǎng)績(jī)效具有負(fù)向影響,而且這種不利影響會(huì)隨著時(shí)間的推移逐漸加強(qiáng)。其次,套利風(fēng)險(xiǎn)對(duì)錯(cuò)誤定價(jià)和并購(gòu)市場(chǎng)績(jī)效之間的關(guān)系具有干擾型調(diào)節(jié)作用,從而降低了資本市場(chǎng)的有效性;但在中長(zhǎng)期調(diào)節(jié)作用出現(xiàn)了由干擾型轉(zhuǎn)變?yōu)樵鰪?qiáng)型的跡象,由此增加了資本市場(chǎng)的波動(dòng)性和并購(gòu)公司的市場(chǎng)風(fēng)險(xiǎn)。最后,機(jī)構(gòu)持股能夠中介錯(cuò)誤定價(jià)對(duì)并購(gòu)市場(chǎng)績(jī)效的影響,但對(duì)于套利風(fēng)險(xiǎn)和并購(gòu)市場(chǎng)績(jī)效之間關(guān)系的影響并不顯著;機(jī)構(gòu)投資者持股比例變動(dòng)量可以用于預(yù)測(cè)并購(gòu)公司的短期并購(gòu)市場(chǎng)績(jī)效,但并不能用于對(duì)長(zhǎng)期市場(chǎng)績(jī)效的預(yù)測(cè);機(jī)構(gòu)投資者并非嚴(yán)格意義上的理性套利者,其對(duì)資本市場(chǎng)有效性的改善作用較為有限。在研究結(jié)論的基礎(chǔ)上,本文對(duì)并購(gòu)公司的管理層、機(jī)構(gòu)投資者、中小投資者和市場(chǎng)監(jiān)管部門提出了政策性建議,以期改進(jìn)其在上市公司并購(gòu)過(guò)程中的相關(guān)決策;此外本文還針對(duì)研究的局限和展望進(jìn)行分析,為其他學(xué)者的未來(lái)研究提供了一些可行的建議。
[Abstract]:In the new normal, the supply-side reform of China's economy has set off a new wave of corporate M & A, under the background that corporate M & A has increasingly become the national macroeconomic policy means. The debate over the gains and losses of mergers and acquisitions in China's capital markets has been endless, although many studies have found that most Chinese listed companies' mergers and acquisitions hurt shareholders' long-term gains. However, most of the researches on the factors influencing the performance of M & A market have not jumped out of the paradigm of modern finance based on the hypothesis of efficient capital market, and this paper is based on the emerging behavioral finance theory. The influence of mispricing before M & A on M & A market performance is studied. As well as arbitrage risk and institutional shareholding in this relationship in the regulatory role and intermediary role. Firstly, this paper discusses the relationship between M & A and M & A market performance of previous literature and mispricing. Arbitrage risk and institutional shareholding impact on M & A of listed companies are reviewed and reviewed, followed by asymmetric information theory. Based on the theory of limited arbitrage and investor sentiment theory, this paper puts forward the research hypothesis, that is, the influence of mispricing on the performance of M & A market. Arbitrage risk on the relationship between mispricing and M & A market performance, and institutional ownership of the wrong pricing. The intermediation of the relationship between arbitrage risk and M & A market performance. From in the first quarter of 2004 to in the fourth quarter of 2013, the M & A events of A-share listed companies in Shanghai and Shenzhen stock markets in China are selected as the research samples. The long-term event research method of cross-grouping is used to calculate the buying after M & A. And hold abnormal returns to measure M & A market performance. We measure mispricing through industry adjustment market book rate, arbitrage risk by stock heterogeneity volatility estimated by market model, and institutional shareholding by the change of institutional investors' shareholding ratio. In most M & A events in China's capital market, the long-term market income of M & A shareholders has suffered losses. After empirical regression of the research hypothesis, this paper further draws the following conclusions. Mispricing has a negative impact on M & A market performance, and this adverse impact will gradually strengthen with the passage of time. Secondly. Arbitrage risk has interference regulation effect on the relationship between mispricing and M & A market performance, thus reducing the effectiveness of capital market; However, in the medium and long term, there are signs of changing from interference to enhancement, which increases the volatility of capital market and the market risk of mergers and acquisitions. Finally. Institutional shareholding can mediate the impact of mispricing on M & A market performance, but the impact on the relationship between arbitrage risk and M & A market performance is not significant. The change of institutional investors' shareholding ratio can be used to predict the short-term M & A market performance of M & A companies, but it can not be used to predict the long-term market performance of M & A companies. Institutional investors are not rational arbitrage in the strict sense, and their effect on the improvement of the effectiveness of the capital market is limited. On the basis of the research conclusions, this paper deals with the management and institutional investors of M & A companies. Small and medium-sized investors and market regulatory departments put forward policy recommendations in order to improve their decision-making in the process of mergers and acquisitions of listed companies; In addition, this paper analyzes the limitations and prospects of the research, and provides some feasible suggestions for the future research of other scholars.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51;F271

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