我国上市公司并购公告效应的实证研究
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摘要
并购是增大企业规模、进行扩张的重要手段之一,也是企业进行长期资本性支出的主要形式之一,同时,并购绩效及其价值等的研究也成为目前理论届的热点之一。目前,关于并购的研究主要集中在并购的绩效、影响因素及并购后的整合问题等几个方面,而本文主要从公告效应的角度出发,通过计算并购首次公告日前后一段时间内的超额收益率,来考察并购公告的发布是否会引起资本市场的变化,是否会产生正的超额报酬率以及会对投资者带来什么样的影响。
纵观历史,西方国家的并购可以追溯到上百年前,先后经历过五次并购浪潮,并购手段越来越多,并购范围越来越广,并购脚步也越来越快,总之,不管是理论上还是实践上都已相当成熟。相比较而言,国内的并购起步较晚,只有二十几年的历史,但也发展较快。国外相关理论研究的基础主要是假设资本市场是有效地、交易是自由的,企业利润最大化与股东收益最大化是基本一致的,这些假设在西方成熟资本市场与现实基本吻合,然而在转型经济背景下的中国,资本市场的内幕交易和二级市场操纵十分普遍,上市公司行为不是一种完全地市场化行为。现有的研究主要是借鉴国外经验,结合中国国情,依靠股票的长期价格反映公司业绩,由于时间较长、因素众多、分析也较复杂等,不够直观和明确。
本文则直接关注于并购的公告信息对股价的冲击上,试图通过研究短期的股价效应来考察资本市场对并购事件最直接的反应。为此,文章选取相对较长的一段时间内所有发布的A股上市公司并购公告信息,并对其进行相关数据处理及筛选后,采用事件研究法分别计算了2004-2007这四年间每一年由并购公告信息所带来的平均超额报酬率和累计超额报酬率,得出的结论表明资本市场会对并购公告迅速做出反应,甚至是提前做出反应,但是2004年和2005年两年间并购公告均产生了正的累计超额报酬率,而2006和2007年两年的并购公告却产生了负的超额收益率,这说明并购公告的发布,并不是一定会产生正的超额报酬率,使投资者受益,还有可能产生负的超额亏损,使投资者受损。结果还表明,并购公告效应的影响,除了受到企业自身因素的影响外,还在一定程度上受到其他因素的影响,如市场环境的变化或经济政策的变化等。
Merger and Acquisition (M&A) is one of the key methods to increase firm size and to expand, is also one form of long-term corporate capital spending, and at the same time, the research of M&A effect is becoming one of the current hotspot theories. Research on M&A was mainly focused on the performance of mergers and acquisitions、impact factors and post-merger integration and so on, but this paper will begin from the point of view on M&A announcements effect. The main objective is to check whether the M&A announcements' open will bring changes of capital market, and whether will make positive excess returns, by calculating a period of time before and after the date of M&A announcement.
Throughout history, Western countries' M&A can be traced back to one hundred years ago, the merger and acquisition has experienced five times, means became more and more variety, areas became more and more widely,steps became more and more fast. In a word, whether in theory or in practice, M&A was quite mature. In comparison, the domestic M&A started quite late, only 20 years, but also developed fairly rapid. In Foreign countries, related theories were mainly based on the hypothesis of that capital market was effective, trade was free and corporate profit maximization was agreed that shareholders income maximization, these assumptions in western mature capital markets was close to reality, but in China with the basic of economic transition, under the background of the capital market and the level of insider trading, listed companies'behavior was not the completely market behavior. The existed researches were mainly drew on the experiences abroad, combined with China's national conditions, to rely on the stock price of the company from long-term performance. But the consequence was not intuitive and clear, as there was long time, many factors and complex analysis.
This paper is focused on the impact of M&A announcement information to stock price directly and tries to study the short-term price effect to review the direct reaction of capital market on M&A deals. Therefore, This paper select all A-share listed company merger-related incident data for a relatively long period of time, after processing and screening we calculate the excess returns for each year between 2004-2007 because of M&A,taking the method of event study. We found that the capital market can react quickly,and even make respond in advance, but we also found the two years between 2004 and 2005 it produced a positive cumulative excess returns, while the two years between 2006 and 2007 it produced a negative excess rate of return. This shows that the announcement of a capital expenditure does not necessarily produce a positive excess returns, does not necessarily make investors benefit. This also shows that the merger announcement may also be affected by other factors, such as the economic environment or changes in the market and so on.
纵观历史,西方国家的并购可以追溯到上百年前,先后经历过五次并购浪潮,并购手段越来越多,并购范围越来越广,并购脚步也越来越快,总之,不管是理论上还是实践上都已相当成熟。相比较而言,国内的并购起步较晚,只有二十几年的历史,但也发展较快。国外相关理论研究的基础主要是假设资本市场是有效地、交易是自由的,企业利润最大化与股东收益最大化是基本一致的,这些假设在西方成熟资本市场与现实基本吻合,然而在转型经济背景下的中国,资本市场的内幕交易和二级市场操纵十分普遍,上市公司行为不是一种完全地市场化行为。现有的研究主要是借鉴国外经验,结合中国国情,依靠股票的长期价格反映公司业绩,由于时间较长、因素众多、分析也较复杂等,不够直观和明确。
本文则直接关注于并购的公告信息对股价的冲击上,试图通过研究短期的股价效应来考察资本市场对并购事件最直接的反应。为此,文章选取相对较长的一段时间内所有发布的A股上市公司并购公告信息,并对其进行相关数据处理及筛选后,采用事件研究法分别计算了2004-2007这四年间每一年由并购公告信息所带来的平均超额报酬率和累计超额报酬率,得出的结论表明资本市场会对并购公告迅速做出反应,甚至是提前做出反应,但是2004年和2005年两年间并购公告均产生了正的累计超额报酬率,而2006和2007年两年的并购公告却产生了负的超额收益率,这说明并购公告的发布,并不是一定会产生正的超额报酬率,使投资者受益,还有可能产生负的超额亏损,使投资者受损。结果还表明,并购公告效应的影响,除了受到企业自身因素的影响外,还在一定程度上受到其他因素的影响,如市场环境的变化或经济政策的变化等。
Merger and Acquisition (M&A) is one of the key methods to increase firm size and to expand, is also one form of long-term corporate capital spending, and at the same time, the research of M&A effect is becoming one of the current hotspot theories. Research on M&A was mainly focused on the performance of mergers and acquisitions、impact factors and post-merger integration and so on, but this paper will begin from the point of view on M&A announcements effect. The main objective is to check whether the M&A announcements' open will bring changes of capital market, and whether will make positive excess returns, by calculating a period of time before and after the date of M&A announcement.
Throughout history, Western countries' M&A can be traced back to one hundred years ago, the merger and acquisition has experienced five times, means became more and more variety, areas became more and more widely,steps became more and more fast. In a word, whether in theory or in practice, M&A was quite mature. In comparison, the domestic M&A started quite late, only 20 years, but also developed fairly rapid. In Foreign countries, related theories were mainly based on the hypothesis of that capital market was effective, trade was free and corporate profit maximization was agreed that shareholders income maximization, these assumptions in western mature capital markets was close to reality, but in China with the basic of economic transition, under the background of the capital market and the level of insider trading, listed companies'behavior was not the completely market behavior. The existed researches were mainly drew on the experiences abroad, combined with China's national conditions, to rely on the stock price of the company from long-term performance. But the consequence was not intuitive and clear, as there was long time, many factors and complex analysis.
This paper is focused on the impact of M&A announcement information to stock price directly and tries to study the short-term price effect to review the direct reaction of capital market on M&A deals. Therefore, This paper select all A-share listed company merger-related incident data for a relatively long period of time, after processing and screening we calculate the excess returns for each year between 2004-2007 because of M&A,taking the method of event study. We found that the capital market can react quickly,and even make respond in advance, but we also found the two years between 2004 and 2005 it produced a positive cumulative excess returns, while the two years between 2006 and 2007 it produced a negative excess rate of return. This shows that the announcement of a capital expenditure does not necessarily produce a positive excess returns, does not necessarily make investors benefit. This also shows that the merger announcement may also be affected by other factors, such as the economic environment or changes in the market and so on.
引文
①关于重大性标准,参考上海证券交易所出版的《2008年中国公司治理报告》
⑦见Saeed Akbar& Syed Zulfiqur Ali Shah & Issedeeq Saadi. Stock market reaction to capital expenditure announcements by UK firms.
⑧见上海证券交易所研究中心：中国公司治理报告(2008)
⑨见Catherine Shenoy & Nikos Vafeas. The free cash flow effects of Capital expenditure announcements.
⑩见Saeed Akbar& Syed Zulfiqur Ali Shah & Issedeeq Saadi:Stock market reaction to capital expenditure announcements by UK firms;
11 见Nikos Vafeas & Catherine Shenoy. An empirical investigation of capital expenditure announcements;
12 见Stephen C Vogt. Cash flow and capital spending:evidence from capital expenditure announcements;
13 见Jeffery A. Born& Harley E Ryan Jr:capital expenditure announcements and anti-takeover barriers.
14 Edwards Jones& Jo Danbolt & Ian Hirst.Company investment announcements and the market value of the firm
15 参考文献：蒋明龙.我国上市公司并购绩效研究
16 参考文章：张文璋,顾慧慧.我国上市公司并购绩效的实证研究.2002.9
17 见李善民、朱滔.中国上市公司并购的长期绩效-基于证券市场的研究.2005.5
18 参考文献：吴豪、庄新田.中国上市公司并购绩效的实证研究
19 参考文献：王宛秋、张永安、刘煜.我国上市公司技术并购绩效的实证研究
20 参考文献：许艳芳.基于CTAR法的上市公司并购绩效研究
22 参考李志学《公司并购与政府监管政策研究》.经济管理版社.第4页
23 数据来源于李志学.公司并购与政府监管政策研究.导论
26 参考汪平.《财务理论》.第26页.
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⑦见Saeed Akbar& Syed Zulfiqur Ali Shah & Issedeeq Saadi. Stock market reaction to capital expenditure announcements by UK firms.
⑧见上海证券交易所研究中心：中国公司治理报告(2008)
⑨见Catherine Shenoy & Nikos Vafeas. The free cash flow effects of Capital expenditure announcements.
⑩见Saeed Akbar& Syed Zulfiqur Ali Shah & Issedeeq Saadi:Stock market reaction to capital expenditure announcements by UK firms;
11 见Nikos Vafeas & Catherine Shenoy. An empirical investigation of capital expenditure announcements;
12 见Stephen C Vogt. Cash flow and capital spending:evidence from capital expenditure announcements;
13 见Jeffery A. Born& Harley E Ryan Jr:capital expenditure announcements and anti-takeover barriers.
14 Edwards Jones& Jo Danbolt & Ian Hirst.Company investment announcements and the market value of the firm
15 参考文献：蒋明龙.我国上市公司并购绩效研究
16 参考文章：张文璋,顾慧慧.我国上市公司并购绩效的实证研究.2002.9
17 见李善民、朱滔.中国上市公司并购的长期绩效-基于证券市场的研究.2005.5
18 参考文献：吴豪、庄新田.中国上市公司并购绩效的实证研究
19 参考文献：王宛秋、张永安、刘煜.我国上市公司技术并购绩效的实证研究
20 参考文献：许艳芳.基于CTAR法的上市公司并购绩效研究
22 参考李志学《公司并购与政府监管政策研究》.经济管理版社.第4页
23 数据来源于李志学.公司并购与政府监管政策研究.导论
26 参考汪平.《财务理论》.第26页.
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