中国上市公司并购的短期财富效应实证研究

本文采用事件研究法对1998～2003年中国上市公司的2128起广义上的并购交易进行了全面分析。实证研究表明，在[-30，30]的事件窗内，总样本并购活动的确会引起显著的短期财富效应变动。分类研究发现，股权收购和股权转让类的子样本、目标公司的子样本、公用事业类和综合类的子样本、规模小于10％的子样本、现金支付方式的子样本、国有股比重最大和法人股比重最大的子样本，均在事件期内取得显著为正的超常收益，但累计超常收益的大小均不超过3％。     

并购重组、并购环境与公司股价异动——基于中国创业板的证据

在分析并购重组对公司股价异动的传导机理的基础上,选取中国创业板上市公司并购事件为样本,运用事件研究法对公司并购重组股价异动效应以及股价异动对并购环境的敏感度进行分析,结果表明:公司并购重组的股价异动效应是非常显著的,在整个窗口期(-10,10)持有公司股票,可获取9.93%的超额收益;并购规模与现金比率对公司股价异动均存在显著的正向影响,支付方式对公司股价异动存在显著的负向影响;并购事件公告前后,并购规模对公司股价异动的正向影响程度提升了1.21倍,支付方式对公司股价异动的负向影响程度降低了30.59%,现金比率对公司股价异动的影响趋势不显著.     

并购溢价过高么? ——基于我国A股155个并购事件的实证分析

本文基于协同效应理论和过度支付理论,利用2006～2017年我国A股155个并购事件,对理论分析进行实证检验。结果表明并购溢价和并购方股东财富之间存在倒U型关系,当溢价水平超过目标公司市值18.2%后,异常收益率显著降低,过度支付理论得到了证实。另外,对于目标公司,溢价水平与其股东财富呈现显著正相关。最后,建议监管机构重点关注并购事件的信息披露,完善并购价格形成机制,避免竞价时"赢者诅咒"现象,减少市场恶性竞争,防止操纵股价,并提醒投资者警惕支付的"羊群"效应,避免盲目追涨行为。     

中国企业对外并购短期财富绩效损益实证研究

以2001～2009年我国上市公司发生的对外并购事件为样本,首先运用累积超常收益法度量收购方中国企业对外并购的短期财富绩效.研究显示:中国企业在海外并购中存在负的短期财富效应,其次,将多个动因理论引入到并购绩效的研究中,对这些企业的财富绩效显著为负的现象进行了实证分析.通过累积超额收益对各种并购动因的代理财务变量做横截面多元回归,结果发现,自由现金流量假说、狂妄假说可以部分解释中国企业财富损失的原因;政府关联假说也具有一定的解释力,但是大股东控制假说和报表重组假说虽然系数为负,却不显著.     

融资约束对并购支付方式的影响研究

本文以2007-2012年间我国沪深两市的545起并购事件为研究对象,采用logistic回归方法,研究融资约束对并购支付方式的影响。研究结果表明,相对于无融资约束并购方,有融资约束的并购方均不愿意选择现金而采用股票作为支付方式。进一步分析发现,之前的文献中关于支付方式的决定因素中,只有并购方的托宾Q值的影响在有无融资约束两组公司中显著不同。有融资约束并购者的托宾Q值与使用现金(股票)支付方式的可能性负(正)相关。然而这种关系对于没有融资约束的公司恰恰相反。     

中国银行业兼并与收购动机的实证研究

本文采用事件研究法,检验2003~2012年中国13家银行发起的71起并购事件的市场反应,实证分析并购的动机。研究结果显示:在窗口(0,+2)下,并购能给收购银行的股东带来显著的财富增加;在窗口(-2,0)下,股东财富有所减少;产品和地域多元化对收购银行的超额回报没有显著影响;盈利能力对收购银行的超额回报有显著的正向影响,是中国银行业并购的潜在动机之一。     

中国上市公司股权分置改革的事件研究

市场对股改这一事件的反应显著,在股改日当天出现显著为正的累积超常收益,说明了股改给流通股股东带来了超常收益;资产重组和权证方式使得流通股东获得较多的超常收益,而广为流行的送股方式以及派现方式和缩股方式都没有给流通股东带来较多收益。     

国内上市公司跨国并购绩效影响因素的实证研究

本文以2005年至2010年我国沪深交易所成功进行跨国并购的103家公司为研究样本,利用多元回归模型对中国企业跨国并购绩效的影响因素进行实证检验。研究结果表明:现金支付方式、第一大股东持股比例、并购双方的文化异质对收购公司的并购绩效影响显著正相关;收购公司的政府关联度与其并购后的短期绩效正相关,与其长期绩效显著负相关;收购公司的公司规模与其并购后的短期绩效显著负相关,与其长期绩效显著正相关。在此基础上指出政府应加大对国内企业跨国并购的扶持力度,应当谨慎选择跨国并购的时机和目标公司,强化跨国并购后的整合效应,通过海外并购实现全球资源的优化配置。     

银行保险的财富效应检验:以“平深恋”为例

本文运用事件研究法,以中国平安收购深发展事件为例,实证考察了银行保险的财富效应,结果表明并购对双方主体的市场价值具有一定的显著影响。采用SUR模型进一步研究该并购事件对国内银行业和保险业其他上市主体超额收益的影响还显示:企业性质、行业属性和企业实力等因素对其超额收益存在较为显著的影响。     

融资约束对并购绩效的影响研究——基于支付方式的中介效应

本文选取2013~2015年沪深两市A股上市公司755个并购事件为研究对象,研究了融资约束对并购绩效的影响,并以支付方式作为中介变量,研究对融资约束与并购绩效关系的影响。结果表明存在融资约束的公司,并购绩效更高;而且更偏好于选择股票支付方式;支付方式在融资约束与并购绩效的关系中起部分中介作用。因此,为提升并购企业价值,融资约束公司在并购时,应选择股票支付方式。     

Debt Management under Corporate and Personal Taxation

The presence of long-term debt in a corporation's capital structure is shown to give rise to a valuable tax-timing option that can be exercised by the firm on behalf of its shareholders. This option, which is not available if the firm is fully equity financed, implies that leverage will have a positive tax effect on total firm value even if there is no such effect associated with the tax deductibility of the coupon interest payments on debt. The more volatile interest rates and bond prices are, the more valuable the tax-timing option and the larger the favorable impact of debt on shareholder wealth.     

煤炭上市公司并购重组市场效应的实证研究

理论上讲,煤炭业的产业特性决定了并购重组能够大大提升企业资源配置的效率。本文利用2004～2009年中国煤炭业上市公司并购中小型煤炭企业的19个样本数据,对煤炭企业并购的市场效应进行了实证检验。结果显示：在并购主体宣布并购重组的窗口期内,投资者获得了显著为正的累计超额回报,表明投资者对并购事件给予了积极评价,从而为正在进行的煤炭业资源整合提供了支持性依据。     

业绩承诺背后的财富转移效应研究

业绩承诺已成为我国上市公司并购重组的基本特征,但在这一热潮下,违约现象也屡有发生,促使人们思考业绩承诺背后的真实动机。本文基于我国资本市场的高频交易数据,从财富转移与信号传递两个视角辨析了并购重组中业绩承诺对机构和个人投资者在资金流向与投资收益方面的影响。研究发现,业绩承诺信息公告后,小投资者会更多买入并购企业股票,其投资收益为负并遭受了较大损失;而大投资者则显著降低其持仓,投资收益显著为正,财富效应在大小投资者之间转移明显。进一步的研究还发现,财富转移效应在业绩承诺违约、自愿性业绩承诺的并购重组中的差异更大,这表明业绩承诺更多以保护机制之名行信息优势之实。而深层次的分析发现,信息透明度较高、对投资者利益保护较好的公司,其财富转移效应差异程度会得到较好抑制,大投资者的信息优势和知情交易行为有所收敛。本文的研究发现佐证了业绩承诺机制背后财富转移效应的存在,其结论启示我们,不断提高公司信息透明度、合理设定业绩承诺发生违约时的赔偿额和加大对业绩承诺违约的处罚力度仍是业绩承诺发挥真正保护机制的重中之重。     

股权控制、债务容量与支付方式——来自我国企业并购的证据

本文以2008至2011年发生并购的企业为样本,研究了股权控制和债务容量对支付方式的影响。结论表明,高管持股比例越大,企业使用现金支付的比例越高;在大股东持股的中等区间内,股权比例越大,并购企业较多的使用股票支付,在股权分置改革的背景下,借助并购重组的机会,出资人有明显的稀释股权的动机,在很低和很高的区间内,股权比例对支付方式影响不显著;债务容量越大的企业,由于具有更大的举债能力,现金支付的比例更高。本文结论对完善并购支付理论、指导我国企业并购实践和提高并购支付决策的科学化水平都具有重要理论和现实意义。     

The relation between equity incentives and misreporting: The role of risk-taking incentives

Prior research argues that a manager whose wealth is more sensitive to changes in the firm?s stock price has a greater incentive to misreport. However, if the manager is risk-averse and misreporting increases both equity values and equity risk, the sensitivity of the manager?s wealth to changes in stock price (portfolio delta) will have two countervailing incentive effects: a positive “reward effect” and a negative “risk effect.” In contrast, the sensitivity of the manager?s wealth to changes in risk (portfolio vega) will have an unambiguously positive incentive effect. We show that jointly considering the incentive effects of both portfolio delta and portfolio vega substantially alters inferences reported in prior literature. Using both regression and matching designs, and measuring misreporting using discretionary accruals, restatements, and enforcement actions, we find strong evidence of a positive relation between vega and misreporting and that the incentives provided by vega subsume those of delta. Collectively, our results suggest that equity portfolios provide managers with incentives to misreport when they make managers less averse to equity risk.     

A Reexamination of the Tradeoff between the Future Benefit and Riskiness of R&D Increases

Many previous studies document a positive relation between research and development (R&D) and equity value. Though R&D can increase equity value by increasing firm value, it can also increase equity value at the expense of bondholder wealth through an increase in firm risk because equity is analogous to a call option on the underlying firm value. Shi [2003] tests this hypothesis by examining the relation between a firm's R&D intensity and its bond ratings and risk premiums at issuance. His results show that the net effect of R&D is negative for bondholders. We reexamine Shi's [2003] findings and in so doing make three contributions to the literature. First, we find that Shi's [2003] results are sensitive to the method of measuring R&D intensity. When we use what we argue is a better measure of R&D intensity, we find that the net effect of R&D is positive for bondholders. Second, when we use tests that Shi [2003] recognizes are even better than the ones that he uses, we find even stronger evidence of the positive effect of R&D on bondholders. Third, we examine cross‐sectional differences in the effect of R&D on debtholders. Consistent with our main finding, we document a negative relation between R&D increases and default risk. The default risk reduction is also more pronounced for firms with higher initial default scores (where the debtholders have more to gain from an R&D increase) and for firms with more bank debt (where the debtholders have greater covenant protection from the possible detriments associated with R&D increases).     

公积金制度对住房财富不平等的影响效应分析——基于CHFS数据的实证研究

住房公积金制度对住房财富积累具有较强的中介效应,其再分配机制对住房财富水平有显著影响。为此,结合中国家庭金融调查数据,引入结构方程模型和不平等回归分解法,对其影响路径进行系统性研究发现：我国住房公积金制度对高收入和高社会地位群体的住房财富积累具有稳定的正向再分配效应,对住房财富不平等的贡献较高。按照公积金的代际支付转移及分配差异的负反馈循环机制,这种不平等远未达到其最大影响。未来通过政策调整和结构优化,在公积金制度公平性和财富分配方面还蕴含着巨大的改善空间。     

Share repurchase,executive options and wealth changes to stockholders and bondholders

We test the signaling and wealth transfer hypotheses around the announcement of share repurchases using a recent and larger sample of data than previously examined while employing a methodology designed to enhance the power of our tests. Disentangling the wealth transfer and signaling hypotheses is difficult; they are not mutually exclusive and can have opposite effects for bondholders. Wealth transfers decrease bondholder wealth while positive signals increase it; the combined result obscures tests of each hypothesis. By focusing on sub-samples where signaling is more and less likely to be present we increase our ability to isolate the separate effects. In addition to traditional tests of wealth effects, we feature information inherent in the correlation of wealth changes to equity and debt. Our results are generally consistent with the positive signaling effect of stock repurchases, but also provide some support for wealth transfer. Our work also emphasizes the importance of trying to disentangle the various hypotheses. In the subset of option funding repurchases, where signaling effects are less likely, the positive correlation of wealth changes between stockholders and bondholders is completely eliminated. Bond ratings are much more likely to be upgraded in samples without executive options which is precisely where the signaling effects are expected to be concentrated. Firms with weaker shareholder rights experience greater bondholder wealth losses at the announcement of stock repurchases.     

MARKET EXPECTATIONS AND THE VALUATION EFFECTS OF EQUITY ISSUANCE

We examine how the wealth effects of equity offers are influenced by investors' expectation of the equity type (public or private) to be issued. Firms deviating to the public market may be issuing when information asymmetry or agency costs are high, and their wealth effects are more negative than for firms that are anticipated to issue equity publicly. Firms deviating to the private market, however, may signal firm undervaluation or monitoring benefits and experience more positive wealth effects than firms that are expected to issue equity privately. For the private issues, public market accessibility appears to influence the wealth effects.