估值套利与公司并购——来自中国企业并购的新证据
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摘要
由于制度和市场的差异,中国A股上市公司的并购对象表现出显著的差异,即绝大部分并购标的是非上市公司。由于具有相对于非上市公司的估值优势,上市公司往往会通过并购非上市公司来增加其价值,其中的关键动因是通过并购获取估值套利。利用2008—2017年A股上市公司并购非上市公司的数据,本文实证检验了"估值套利"并购动机假说,结果发现:(1)与潜在非上市并购标的估值差异越大,上市公司并购非上市公司的概率和相对规模都显著增大,在控制了协同效应、代理成本以及错误定价假说后此结论仍然成立;(2)与以往文献中并购方收益不确定不同,样本中并购方在公布并购信息10个交易日内获得了近30%的超额收益;(3)并购一年之内大股东通过二级市场减持、质押股票比例显著增大。本文发现了错误定价在并购理论中新的表现形式,拓展了并购动机理论的相关研究,也以中国企业并购的现实佐证了公司并购中的估值套利理论。
Mergers and acquisitions(M&A) is an important way to reallocate resources in economy. Over the past 10 years, M&As in China's capital market have shown a different pattern from the developed countries: we find that 96.2% of the listed companies in China choose to acquire unlisted company while the proportion is 76.8% in the United States.This paper argues that this phenomenon is caused by the huge valuation difference between listed companies and non-listed companies in China. The valuation of listed companies is much higher than unlisted companies with similar size and profitability within the same industry. This valuation difference is caused by some unique features of China's capital market. First, unlike developed countries that firms only need to register with SEC to issue equity to the public, Chinese companies need to be approved to conduct initial public offerings by SEC. Second, Chinese investors could not conduct short-selling transactions for a long time until 2010. Third, China's A-share market transactions are dominated by individual investors. When a listed company acquires a relatively undervalued unlisted company, the valuation of the listed company will decline. However, the existence of the approval system makes public firms a scarce resource, and the short-selling restrictions make investors can only long the stock. Therefore, the valuation of listed companies after the merger will still increase after temporary decline. If investors correctly understand the valuation arbitrage motivation behind M&As of listed companies, they will react positively to the M&A announcements. Therefore, even without synergy effect, the valuation of acquiring firm will increase after the announcement of M&As. We argue that Chinese listed firms are keen to acquire non-listed companies mainly because this "valuation arbitrage" opportunity that Chinese A-share listed companies have.Based on the data of China's capital market, this paper proposes and tests the "valuation arbitrage" hypothesis where listed companies using their valuation advantage to launch mergers and profit from them. The results show that the greater the difference between the valuation of listed companies and unlisted M&A targets, the bigger the probability and relative scale of listed companies' M&As of non-listed companies. Our results are robust after controlling for alternative hypotheses such as synergies, agency problems and mispricing of the acquiring firms themselves. In addition, while previous literature has no consensus on the valuation effect of the acquirers from M&A activity, we find that public acquirers in China on average receive 30% abnormal returns within 10 trading days after the M&A news are announced. Finally, we show that the amount of share reduced/pledged by the big shareholders through the secondary market increased significantly after the completion of the M&As.This paper contributes to the literature in several ways: First, it finds a new mechanism to explain M&A activities in China. Traditional studies of mispricing are generally based on the mispricing index constructed by Rhodes-Kropf et al.(2005) that uses the book value-to-market ratio decomposition method and ignore the valuation difference between listed companies and non-listed companies. Therefore, it cannot explain the phenomenon that listed companies prefer to acquire non-listed companies. Based on China's capital market, this paper shows that one of the motives for listed companies to acquire non-listed firms is to make use of the valuation difference between listed company and unlisted company. Second, it reveals the reasons for shareholders' share pledge and reduction of listed companies. There is a large literature on the share pledge and reduction. For instance, the possible risks of share reduction by large shareholders in the A-share market. However, few of them shed light on the reasons. This paper also has a strong practical implication. It is obvious that such self-interested activity will not only hurts the long-term development of the listed companies themselves, but also imposes risks in the the financial market. To solve this problem, Chinese regulators should make corresponding policies to reduce the valuation arbitrage opportunity of listed firms in their M&A's of non-listed firms.
Mergers and acquisitions(M&A) is an important way to reallocate resources in economy. Over the past 10 years, M&As in China's capital market have shown a different pattern from the developed countries: we find that 96.2% of the listed companies in China choose to acquire unlisted company while the proportion is 76.8% in the United States.This paper argues that this phenomenon is caused by the huge valuation difference between listed companies and non-listed companies in China. The valuation of listed companies is much higher than unlisted companies with similar size and profitability within the same industry. This valuation difference is caused by some unique features of China's capital market. First, unlike developed countries that firms only need to register with SEC to issue equity to the public, Chinese companies need to be approved to conduct initial public offerings by SEC. Second, Chinese investors could not conduct short-selling transactions for a long time until 2010. Third, China's A-share market transactions are dominated by individual investors. When a listed company acquires a relatively undervalued unlisted company, the valuation of the listed company will decline. However, the existence of the approval system makes public firms a scarce resource, and the short-selling restrictions make investors can only long the stock. Therefore, the valuation of listed companies after the merger will still increase after temporary decline. If investors correctly understand the valuation arbitrage motivation behind M&As of listed companies, they will react positively to the M&A announcements. Therefore, even without synergy effect, the valuation of acquiring firm will increase after the announcement of M&As. We argue that Chinese listed firms are keen to acquire non-listed companies mainly because this "valuation arbitrage" opportunity that Chinese A-share listed companies have.Based on the data of China's capital market, this paper proposes and tests the "valuation arbitrage" hypothesis where listed companies using their valuation advantage to launch mergers and profit from them. The results show that the greater the difference between the valuation of listed companies and unlisted M&A targets, the bigger the probability and relative scale of listed companies' M&As of non-listed companies. Our results are robust after controlling for alternative hypotheses such as synergies, agency problems and mispricing of the acquiring firms themselves. In addition, while previous literature has no consensus on the valuation effect of the acquirers from M&A activity, we find that public acquirers in China on average receive 30% abnormal returns within 10 trading days after the M&A news are announced. Finally, we show that the amount of share reduced/pledged by the big shareholders through the secondary market increased significantly after the completion of the M&As.This paper contributes to the literature in several ways: First, it finds a new mechanism to explain M&A activities in China. Traditional studies of mispricing are generally based on the mispricing index constructed by Rhodes-Kropf et al.(2005) that uses the book value-to-market ratio decomposition method and ignore the valuation difference between listed companies and non-listed companies. Therefore, it cannot explain the phenomenon that listed companies prefer to acquire non-listed companies. Based on China's capital market, this paper shows that one of the motives for listed companies to acquire non-listed firms is to make use of the valuation difference between listed company and unlisted company. Second, it reveals the reasons for shareholders' share pledge and reduction of listed companies. There is a large literature on the share pledge and reduction. For instance, the possible risks of share reduction by large shareholders in the A-share market. However, few of them shed light on the reasons. This paper also has a strong practical implication. It is obvious that such self-interested activity will not only hurts the long-term development of the listed companies themselves, but also imposes risks in the the financial market. To solve this problem, Chinese regulators should make corresponding policies to reduce the valuation arbitrage opportunity of listed firms in their M&A's of non-listed firms.
引文
[1]Shleifer, A., and R. W. Vishny. Stock Market Driven Acquisitions[J].Journal of Financial Economics, 2003, 70, (3): 295-311.
[2]Rhodes-Kropf, M., and S. Viswanathan. Market Valuation and Merger Waves[J].The Journal of Finance, 2004,59,(6):2685-2718.
[3]Weston, F. J., J. H. Mulherin, and M. Mitchell. Takeovers, Restructuring, and Corporate Governance[M]. Upper Saddler River, New Jersey: Prentice Hall, 2004.
[4]Chung, W. Knowledge Seeking and Location Choice of Foreign Direct Investment in the United States[M]. INFORMS, 2002.
[5]韩宝山.技术并购与创新:文献综述及研究展望[J].北京:经济管理,2017, (9):195-208.
[6]Jovanovic, B., and P. L. Rousseau. The Q-Theory of Mergers[J].The American Economic Review, 2002, 92, (2): 198-204.
[7]Mitchell, M. L., and J. H. Mulherin. The Impact of Industry Shocks on Takeover and Restructuring Activity[J]. Journal of Financial Economics, 1996, 41, (2):193-229.
[8]Borenstein, S. Airline Mergers, Airport Dominance, and Market Power[J].The American Economic Review, 1990, 80, (2):400-404.
[9]Shimizu, K., M. A. Hitt, D. Vaidyanath, and V. Pisano. Theoretical Foundations of Cross-border Mergers and Acquisitions: A Review of Current Research and Recommendations for the Future[J].Journal of International Management, 2004, 10, (3): 307-353.
[10]Loughran, T, and A. M. Vijh. Do Long-Term Shareholders Benefit From Corporate Acquisitions?[J].The Journal of Finance, 1997, 52, (5): 1765-1790.
[11]Ravenscraft, D. J., and F. M. Scherer. Mergers, Selloffs, and Economic Efficiency [M]. Washington, Brookings Institution, 1987.
[12]Black, B. S. Bidder Overpayment in Takeovers[J].Stanford Law Review, 1989, 41, (3): 597-660.
[13]Eisenhardt, K. M.,and M. E. Graebner. Theory Building from Cases: Opportunities and Challenges[J].Academy of Management Journal, 2007, 50,(1): 25-32.
[14]Gorton, G., M. Kahl and R. J. Rosen. Eat or Be Eaten: A Theory of Mergers and Firm Size[J].The Journal of Finance, 2009, 64, (3): 1291-1344.
[15]王璐清,何婧,赵汉青.资本市场错误定价如何影响公司并购[J].广州:南方经济,2015,(3):24-37.
[16]符蕾,夏奕奕.行业系统性市场错误定价对并购决策的驱动研究[J].海口:海南大学学报(人文社会科学版),2017,(5):45-54.
[17]Roll, R.. The Hubris Hypothesis of Corporate Takeovers[J]. The Journal of Business, 1986, 59, (2): 197-216.
[18]Malmendier, U. and G. Tate. Who Makes Acquisitions? CEO Overconfidence and the Market’s Reaction[J].Journal of Financial Economics, 2008, 89, (1): 20-43.
[19]Ferris, S. P., N. Jayaraman, and S. Sabherwa. CEO Overconfidence and International Merger and Acquisition Activity[J].Journal of Financial and Quantitative Analysis, 2013, 48, (1): 137-164.
[20]刘柏,梁超.董事会过度自信与企业国际并购绩效[J].北京:经济管理,2017,(12):73-88.
[21]魏文美.我国上市公司并购动因浅析[J].长沙:财经理论与实践,2001,(S1):87-89.
[22]马金城.中外企业并购特点的比较分析[J].大连:财经问题研究,2003,(1):86-90.
[23]黄兴孪,沈维涛.掏空或支持——来自我国上市公司关联并购的实证分析[J].北京:经济管理, 2006, (12): 57-64.
[24]Rhodes-Kropf, M., D. T. Robinson, and S. Viswanathan. Valuation Waves and Merger Activity: The Empirical Evidence[J].Journal of Financial Economics, 2005, 77, (3): 561-603.
[25]Dong, M., D. Hirshleifer, S. Richardson, and S. H. Teoh. Does Investor Misvaluation Drive the Takeover Market?[J].The Journal of Finance, 2006, 61, (2): 725-762.
[26]Papadakis, V. M., and I. C. Thanos. Measuring the Performance of Acquisitions: An Empirical Investigation Using Multiple Criteria[J].British Journal of Management, 2010, 21, (4): 859-873.
[27]Alexandridis, G., D. Petmezas, and N. G. Travlos. Gains from Mergers and Acquisitions Around the World: New evidence[J].Financial Management, 2010, 39, (4): 1671-1695.
[28]张新.并购重组是否创造价值?——中国证券市场的理论与实证研究[J].北京:经济研究,2003,(6):20-29.
[29]李常青,幸伟.控股股东股权质押影响高管薪酬——业绩敏感性吗?[J].北京:经济管理,2018,(5):157-174.
[30]陆蓉,何婧,崔晓蕾.资本市场错误定价与产业结构调整[J].北京:经济研究,2017,(11):104-118.
[31]Bradley, M., A. Desai, and E. H. Kim. Synergistic Gains from Corporate Acquisitions and Their Division Between the Stockholders of Target and Acquiring Firms[J]. Journal of Financial Economics, 1988, 21, (1): 3-40.
[32]Ang, J. S., R. A. Cole, and J. W. Lin. Agency Costs and Ownership Structure[J]. The Journal of Finance, 2000, 55, (1): 81-106.
[33]Maksimovic, V. P., G. Phillips, and L. Yang. Private and Public Merger Waves[J].The Journal of Finance, 2013, 68, (5): 2177-2217.
[34]方明月.资产专用性、融资能力与企业并购——来自中国A股工业上市公司的经验证据[J].北京:金融研究,2011,(5):156-170.
[35]方军雄.政府干预、所有权性质与企业并购[J].北京:管理世界,2008,(9):118-123.
[36]Daniel, K., M. Grinblatt, S. Titman, and R. Wermers. Measuring Mutual Fund Performance with Characteristic-Based Benchmarks[J]. The Journal of Finance, 1997, 52, (3): 1035-1058.
①根据Thompson Reuters SDC并购数据库以及CRSP数据库统计。
②虽然从2010年开始,卖空交易被允许(即所谓的融券业务),但是,卖空的交易规模始终不大,Wind数据库显示,2017年卖空交易量仅占A股市场总交易量的0.17%。
(1)《上海证券交易所统计年鉴》(2018卷)显示,2017年上海交易所自然人投资者交易占比为82.01%。
(2)未加特殊说明,本文默认使用Wind数据库提供的申万一级行业作为行业划分标准。
(3)由于上市公司并购重组步骤繁琐,涉及股东会决议、证监会审批等多个环节,为了统一起见,本文定义上市公司第一次对外披露并购重组事件日期所在年份为上市公司并购重组年份。
(4)DGTW方法的分组划分标准来源于国泰安数据库。
(5)受篇幅所限,本文将表4以及后文所有回归结果中的控制变量省略,如有需要可向通讯作者索取。
(6)受篇幅限制,本文将工具变量统计性描述及工具变量有效性检验结果省略,如有需要可向通讯作者索取。
(7)根据Wind数据统计,截止到2018年8月10日,市场质押股数为6302.96亿股,市场质押股数占总股本比例为9.88%。
[2]Rhodes-Kropf, M., and S. Viswanathan. Market Valuation and Merger Waves[J].The Journal of Finance, 2004,59,(6):2685-2718.
[3]Weston, F. J., J. H. Mulherin, and M. Mitchell. Takeovers, Restructuring, and Corporate Governance[M]. Upper Saddler River, New Jersey: Prentice Hall, 2004.
[4]Chung, W. Knowledge Seeking and Location Choice of Foreign Direct Investment in the United States[M]. INFORMS, 2002.
[5]韩宝山.技术并购与创新:文献综述及研究展望[J].北京:经济管理,2017, (9):195-208.
[6]Jovanovic, B., and P. L. Rousseau. The Q-Theory of Mergers[J].The American Economic Review, 2002, 92, (2): 198-204.
[7]Mitchell, M. L., and J. H. Mulherin. The Impact of Industry Shocks on Takeover and Restructuring Activity[J]. Journal of Financial Economics, 1996, 41, (2):193-229.
[8]Borenstein, S. Airline Mergers, Airport Dominance, and Market Power[J].The American Economic Review, 1990, 80, (2):400-404.
[9]Shimizu, K., M. A. Hitt, D. Vaidyanath, and V. Pisano. Theoretical Foundations of Cross-border Mergers and Acquisitions: A Review of Current Research and Recommendations for the Future[J].Journal of International Management, 2004, 10, (3): 307-353.
[10]Loughran, T, and A. M. Vijh. Do Long-Term Shareholders Benefit From Corporate Acquisitions?[J].The Journal of Finance, 1997, 52, (5): 1765-1790.
[11]Ravenscraft, D. J., and F. M. Scherer. Mergers, Selloffs, and Economic Efficiency [M]. Washington, Brookings Institution, 1987.
[12]Black, B. S. Bidder Overpayment in Takeovers[J].Stanford Law Review, 1989, 41, (3): 597-660.
[13]Eisenhardt, K. M.,and M. E. Graebner. Theory Building from Cases: Opportunities and Challenges[J].Academy of Management Journal, 2007, 50,(1): 25-32.
[14]Gorton, G., M. Kahl and R. J. Rosen. Eat or Be Eaten: A Theory of Mergers and Firm Size[J].The Journal of Finance, 2009, 64, (3): 1291-1344.
[15]王璐清,何婧,赵汉青.资本市场错误定价如何影响公司并购[J].广州:南方经济,2015,(3):24-37.
[16]符蕾,夏奕奕.行业系统性市场错误定价对并购决策的驱动研究[J].海口:海南大学学报(人文社会科学版),2017,(5):45-54.
[17]Roll, R.. The Hubris Hypothesis of Corporate Takeovers[J]. The Journal of Business, 1986, 59, (2): 197-216.
[18]Malmendier, U. and G. Tate. Who Makes Acquisitions? CEO Overconfidence and the Market’s Reaction[J].Journal of Financial Economics, 2008, 89, (1): 20-43.
[19]Ferris, S. P., N. Jayaraman, and S. Sabherwa. CEO Overconfidence and International Merger and Acquisition Activity[J].Journal of Financial and Quantitative Analysis, 2013, 48, (1): 137-164.
[20]刘柏,梁超.董事会过度自信与企业国际并购绩效[J].北京:经济管理,2017,(12):73-88.
[21]魏文美.我国上市公司并购动因浅析[J].长沙:财经理论与实践,2001,(S1):87-89.
[22]马金城.中外企业并购特点的比较分析[J].大连:财经问题研究,2003,(1):86-90.
[23]黄兴孪,沈维涛.掏空或支持——来自我国上市公司关联并购的实证分析[J].北京:经济管理, 2006, (12): 57-64.
[24]Rhodes-Kropf, M., D. T. Robinson, and S. Viswanathan. Valuation Waves and Merger Activity: The Empirical Evidence[J].Journal of Financial Economics, 2005, 77, (3): 561-603.
[25]Dong, M., D. Hirshleifer, S. Richardson, and S. H. Teoh. Does Investor Misvaluation Drive the Takeover Market?[J].The Journal of Finance, 2006, 61, (2): 725-762.
[26]Papadakis, V. M., and I. C. Thanos. Measuring the Performance of Acquisitions: An Empirical Investigation Using Multiple Criteria[J].British Journal of Management, 2010, 21, (4): 859-873.
[27]Alexandridis, G., D. Petmezas, and N. G. Travlos. Gains from Mergers and Acquisitions Around the World: New evidence[J].Financial Management, 2010, 39, (4): 1671-1695.
[28]张新.并购重组是否创造价值?——中国证券市场的理论与实证研究[J].北京:经济研究,2003,(6):20-29.
[29]李常青,幸伟.控股股东股权质押影响高管薪酬——业绩敏感性吗?[J].北京:经济管理,2018,(5):157-174.
[30]陆蓉,何婧,崔晓蕾.资本市场错误定价与产业结构调整[J].北京:经济研究,2017,(11):104-118.
[31]Bradley, M., A. Desai, and E. H. Kim. Synergistic Gains from Corporate Acquisitions and Their Division Between the Stockholders of Target and Acquiring Firms[J]. Journal of Financial Economics, 1988, 21, (1): 3-40.
[32]Ang, J. S., R. A. Cole, and J. W. Lin. Agency Costs and Ownership Structure[J]. The Journal of Finance, 2000, 55, (1): 81-106.
[33]Maksimovic, V. P., G. Phillips, and L. Yang. Private and Public Merger Waves[J].The Journal of Finance, 2013, 68, (5): 2177-2217.
[34]方明月.资产专用性、融资能力与企业并购——来自中国A股工业上市公司的经验证据[J].北京:金融研究,2011,(5):156-170.
[35]方军雄.政府干预、所有权性质与企业并购[J].北京:管理世界,2008,(9):118-123.
[36]Daniel, K., M. Grinblatt, S. Titman, and R. Wermers. Measuring Mutual Fund Performance with Characteristic-Based Benchmarks[J]. The Journal of Finance, 1997, 52, (3): 1035-1058.
①根据Thompson Reuters SDC并购数据库以及CRSP数据库统计。
②虽然从2010年开始,卖空交易被允许(即所谓的融券业务),但是,卖空的交易规模始终不大,Wind数据库显示,2017年卖空交易量仅占A股市场总交易量的0.17%。
(1)《上海证券交易所统计年鉴》(2018卷)显示,2017年上海交易所自然人投资者交易占比为82.01%。
(2)未加特殊说明,本文默认使用Wind数据库提供的申万一级行业作为行业划分标准。
(3)由于上市公司并购重组步骤繁琐,涉及股东会决议、证监会审批等多个环节,为了统一起见,本文定义上市公司第一次对外披露并购重组事件日期所在年份为上市公司并购重组年份。
(4)DGTW方法的分组划分标准来源于国泰安数据库。
(5)受篇幅所限,本文将表4以及后文所有回归结果中的控制变量省略,如有需要可向通讯作者索取。
(6)受篇幅限制,本文将工具变量统计性描述及工具变量有效性检验结果省略,如有需要可向通讯作者索取。
(7)根据Wind数据统计,截止到2018年8月10日,市场质押股数为6302.96亿股,市场质押股数占总股本比例为9.88%。