我国A股上市公司海外并购市场效应比较研究

摘要

The article empirically compares the market effect of the overseas M&A of listed companies in China’s a-share distributed in eight industries.It is discovered that AAR and CAR of these companies show significant positive fluctuation during the events of overseas M&A.It reflects the market thinks the sample companies will benefit from the events of M&A which will bring the excess returns to the investors.Under the market income adjustment method,samples of the companies’CAR show a stable rising status above the 0 axis after M&A events and also the declining trend under the CAPM model method,even the CAR gradually returns to below 0 axis.The article also points out that only the sample companies in mining industry obtained significant excess returns during the long-term and short-term,while the sample companies in finance and insurance industries did not gain significant excess returns during the announcement date of M&A events.%文章实证比较了包含8个行业238个样本的我国 A 股上市公司宣告跨国并购事件前后的市场反应。研究发现在并购事件宣告日前的事件期内,样本公司的 AAR 和 CAR 都表现出显著的正向波动,反映了市场认为样本公司的海外并购行为是正面消息,能够给投资者带来超额收益的信心。在市场收益调整法下,样本公司的 CAR 在并购事件宣告之后的事件期内呈现出在0轴上方平稳上升的状态；在 CAPM 模型法下,则呈现出逐渐下降的趋势乃至逐渐回归至0轴下方的状态。基于对更多事件窗口期的 CAR 显著性的 t 检验,文章还发现样本公司中只有采掘行业(B)公司在较多的事件窗口期都获得了显著的 CAR,而石油、化学、塑胶、塑料行业(C4),批发和零售贸易行业(H)和金融、保险行业(I)没有能够在笔者所划分研究的任何一个事件窗口期内获得显著的 CAR。