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5 . ( ) IPO IPO IPO GE GE GE - 5 -

6 Grubb and Lamb(2000) Bruner GE Mueller (1980) 7 ( - 6 -

7 - 7 - ) 7 Mueller (306 ) T

8 ( ) 2

10 Bruner(2002) Bruner(2002)

11 ( ) 20% 30%Jensen Ruback(1983) 30% 20%Datta (1992) 21.8% ( 2 1) -1% -3% 24 ( 2 2) 17 1/3(13 ) 1/3(14 ) 1/3(17 ) 11 ( 2 3) 6 Caves(1989) / Asquith, Bruner, Mullins (1983) 10% 4.1% 10% 1.7%

12 ( ) Bruner(2002) Bruner(2002) 4 Geoffrey Meeks (1977) ROA 2/3 Mueller (1980) 7 ( ) Meeks Mueller Mueller Ravenscraft Scherer (1987) Healy, Palepu Ruback (1992)

13 back-looking (forward-looking) Caves (1989)

14 (forward-looking).

16 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% % 4% 2% %

17 Synergy Motive (total value added) Hubris Hypothesis (Agency Motive) (Redistribution)Berkvitch Narayanan 1993Weston (Government-Directed Redistribution) 2 1. (1)

18 (Economies of Scale) (Economies of Scope) Levy Sarnat, 1970 (Nielsen Melicher, 1973) (2) (Roll, 1986) ( )

19 (3) Jensen Meckling 1976 (Amihud Lev 1981) (Jensen 1986) (Shleifer Vishny 1989) (4) (Shleifer Summers, 1988) (LBO) WSJ

20 - 20 -, 4

21 (1) 2 (2) (3)

22 (4) (5)

25 I 1 2 BN(1993) N/A N/A N/A BN(1993), Byrd Hickman(1992), Cotter (1997)

27 - 27 -

29 - 29 -

32 JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC NUMBER OF MERGERS AND ACQUISITIONS MSCI WORLD (RIGHT AXIS)

33 Doeswijk Hemmes

34 - 34 -

35 50% 45% 47% 40% 35% 30% 25% 20% 18% 15% 10% 12% 10% 13% 5% 0% 0% 1% MONDAY TUESDAY WEDNESDAY THURSDAY FRIDAY SATURDAY SUNDAY Doeswijk Hemmes CAPM

36 (forward-looking) N p p N i it t = = 1 2.

37 CRCumulative Returns 1 + = t t t CR r CR N r r N i it t = = 1 1, 1, = t i t i it it p p p r p it i t N 3. (clean) CARCumulative Average Abnormal Return CAPM

38 CAPM CAR CAR ) -180,30 i t P it it R 1 P t P it P it-1 i t i = 1, L, n it 1 2) R ) it (-60,30) R ) it (-180,-90) A A A SSEA A A R ) CAPM it

39 R ) ( it 1 CAPM ) CAPM CAPM β Copeland Weston CAPM CAPM CAPM CAPM CAPM CAPM 3) (-60,30) i t AR it = R it R ) it 4) -60,30 t AARt AAR t n ARit = i= n 5) -60,30 CARt CAR CAR t = AAR t t 60 CAR

40 AAR t, CAR t AAR t, CAR t 0 AAR t, CAR t H : AAR = 0 CAR = 0 0 t 0 t t AAR AARt = S( AAR )/ t n 2 1, S ( AARt ) = n 1 n i= 1 ( AR it AAR ) t 2 t CAR = CAR S( CAR ) / t t n 2, S ( CAR ) = t 1 n 1 n i= 1 ( CAR it CAR ) t 2 t = 60, L,0, L, 30 t AAR, t CAR n 1 t - 4. (ROE) )

41 % 10% 8% CR 6% 4% 2% % 2) () % 8% 7% 6% 5% 4% 3% CR 2% 1% 0% -1%

42 () -5% -4% -3% -2% -1% 0% 1% 2% 3% CR () 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% CR

43 1. 1) CAR CAPM CAR CAR23 CAR 7 CAR CAR

44 4.0% 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% % t CARt

45 9.0% 8.0% 7.0% 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% ) CAPM 24 6 CAR 6 CAR 2.015% 6 CAR 010 t CAR CAR % 6.436%

46 % -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% t CARt % 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0%

47 CAR -14.0% -12.0% -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% % -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% CAPM 28

48 57 CAR 6 CAR CAR 2.807%CAR CAR CAR 7 CAR 6030 CAR 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% % -0.5%

49 t CARt % 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% ) ( ) CAR

50 CAR 9.0% 8.0% 7.0% 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% % -1.0% CAR- CAR- 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% % -4.0% -6.0%

51 6.0% 4.0% 2.0% 0.0% % -4.0% -6.0% -8.0% -10.0% -12.0% -14.0% CAPM % 5.0% 6.0% 6.0% 0.5% 0.5% 1.0% 1.0% 1.0% 1.0% 1.0% 1.0% AR- 4.0% 4.0% 5.0% 5.0% -0.5% -0.5%

52 AR- 1.0% 1.0% -4.5% -4.5% CAR- 5.0% 10.0% 9.5% 9.0% CAR- 1.0% 2.0% -2.5% -7.0% 2) 60 CAR 3% CAR 6.67% Doeswijk Hemmes CAR 8.7% 10% 9% 8% 8.7% 7% 6% 5% 4% 3% 2% 1% 0%

53 20% 18% 16% 17.4% 14% 12% 10% 8% 7.6% 6% 4% 2% 0% -2% -4% % MERGERS ACQUIRERS TARGETS 1. ( ) % (ROE) % 29.99% %752.46% 29.38%5.69%

54 %82.22% % 7.93% 2 (ROE)

55 % % % 29.95% % %

56 % % % % % % % % 29.6%

57 % 62.5% 12.5% 2. ROE

58 % %

59 1 60 CAR 6.667% (annualized CAR 237 )29.05% CAR CAR CAR 4% 16.76%; 3 4 ST

64 - 64 -

65 Langetieg (1978) %** (-120,0) 71.6% Bradley, Desai, Kim %** (-5,5) 95% (1988) Dennis McConnell 8.56% ** (-1,0) 70% (1986) Jarrell, Poulsen (1989) %** (-20,10) N/A Lang, Stulz, Walkling +40.3%** (-5,5) N/A (1989) Franks, Harris, Titman %** (-5,5) N/A (1991) Servaes (1991) %** (-l, ) N/A Bannerjee, Owers (1992) +$137.1 MM** (-1,0) 85% HealyPalepu, Ruback +45.6%** (5,5) N/A (1992) Kaplan, Weisbach +26.9%** (-5,5) 94.7% (1992) Berkovitch, Narayanan +$130.1 MM** (-5,5) 95.8% (1993) Smith, Kim (1994) %** (-5,5) 96.0% %** (-1,0) 91.3% Schwert (l996) +26.3%** (-42,126) N/A Loughran, Vijh (1997) +29.6%** (-2,1250) N/A %** %** Maquieira, Megginson %** (-60,60) 61.8% Nail (1998) %** % Eckbo, Thorburn (2000) +7.45%** (-40,0) N/A Leeth, Borg (2000) %** (-40,0) N/A Mulherin Boone +21.2%** (-1,+1) N/A (2000) Mulherin (2000) %** (-1,0) 76% Delong (2001) %** (-10,1) 88.6% Houston (2001) %** ( ) %** ( ) %** ( ) (-4,1) N/A Bruner(2002) / **

66 Langetieg (1978) -1.61% (-120,0) 47.6% Dodd (1980) -1.09%** -1.24%** (-1,0) N/A Asquith, Bruner, Mullins -0.85%** (-1,0) 41% (1987) Varaiya, Ferris (1987) -2.15%** (-1,0) N/A -3.9%** (-20,80) 42% Morck, Shleifer, Vishny (1990) -0.70% (-1,1) 41.4% Franks, Hams, Titman (1991) -1.45% (-5,5) N/A Servaes (1991) -1.07%** (-1, ) N/A Jennings, Mazzeo (1991) -0.8%** (-1,0) 37% Bannerjee, Owers (1992) -3.3%** (-1,0) 21% Byrd, Hickman (1992) -1.2% (-1,0) 33% Healy, Palepu, Ruback -2.2% (-5,5) N/A (1992) KaplanWeisbach -1.49%** (-5,5) 38% (1992) Berkovitch, Narayanan -$10MM (-5,5) 49.4% (1993) Sirower (1994) -2.3% (-1,1) 35% Eckbo, Thorbum (2000) -0.30% (-40,0) N/A Mulherin Boone -0.37% (-1,+l) N/A (2000) Mitchell, Stafford (2000) -0.14%** % (-1,0) N/A Walker (2000) -0.84%** (-2,+2) 41.4% -0.77% % DeLong (2001) -1.68%** 280 ( ) (-10,1) 33.6% Houston (2001) -4.64%** ( ) -2.61% ( ) -3.47%** ( ) ( ) (-4,1) N/A Bruner(2002) / **

67 Dodd Ruback (1977) +2.83%** (0,0) N/A +0.58% 48 Kummer Hoffmeister +5.20%** (0,0) N/A (1978) Bradley (1980) +4.36%** (-20,+20) N/A -2.96% 46 Jarrell Bradley (1980) +6.66%** (-40,+20) N/A Bradley, Desai Kim (1982) +2.35%** (-10,+10) N/A Asquith (1983) +0.20% +0.50% (-1,0) N/A Asquith, Bruner +3.48%** (-20,+1) N/A Mullins (1983) +0.70% 41 Eckbo (1983) +0.07% 102 1%3-78 (-l,0) N/A +1.20%** 57 Malatesta (1983) +0.90% (0,0) N/A Wier (1983) +3.99% (-10, ) N/A Dennis McConnell -0.12% (-1,0) (-l,0) 52% (1986) +3.24% (-6,+6)** Jarrell, Brickley, Netter (1987) +1.14%** (-10,5) N/A Bradley, Desai, Kim (1988) +1%** (-55) 47% Jarrell, Poulsen (1989) +0.92%** ~5,5) N/A Lang, Stulz. 0% (-5,5) N/A Walkling (1989) Loderer, Martin (1990) +1.72%** %** (-5,0) N/A -0.07% Smith, Kim (1994) +0.50% (-5,5) 49.2% -0.23% (-1,0) 76.2% Schwert (1996) +1.4% (-42,126) N/A Maquieira (1998) +6.14%** (-60,60) 61.8% -4.79% % Lyroudi, Lazardis, 0% 50 I (-5,5) N/A Subeniotis (1999) Eckbo, Thorburn (2000) +1.71%** (-40,0) N/A Leeth, Borg (2000) +3.12%** (-40,0) N/A Mulherin (2000) +0.85%** (-1,0) 49% Kohers Kohers (2000) 1.37%** (0,1) N/A 1.09%** % 1634 Bruner(2002) / **

68 Mandelker (1974) -1.32% (0,365) N/A Dodd Ruback (1977) -1.32% (0,365) N/A -1.60% 48 Langetieg (1978) -6.59%** (0,365) N/A Asquith (1983) -7.20%** (0,240) N/A -9.60%** 89 Bradley, Desai Kim -7.85%** (0,365) N/A (1983) Malatesta (1983) -2.90% (0,365) N/A % ** % 59 Agrawal, Jaffe, Mandekler (1992) %*'* (0,1250) 43.97% Loderer, Martin (1992) +1.5% (0,1250) N/A Gregory (1997) -12%-18%** (0,500) 31% 37% Loughran, Vijh (1997) -14.2% +61.3%** (1,1250) N/A -0.1% Rau, Vermaelen (1998) -4%** 3, (0,36 ) N/A +9%** 348 Bruner(2002) / **

69 Halpern (1973) +$27.35 MM (-140,0) N/A Langetieg (1978) 0% (0,60) 46% Firth (1980) MM (-20,0) N/A Bradley, Desai, Kim (1982) +$17 MM (-20,5) N/A Jensen, Ruback (1983) Bradey, Desai, Kim (1983) +$33.9 MM (-20,5) N/A Weidenbaum, Vogt (1987) Malatesta (1983) +$32.4MM ** (-20,20) N/A Varaiya (1985) +$60.7 MM N/A N/A (-60,60) N/A Weidenbaum, Vogt (1987) Bradley, Desai, Kim (1988) +$117 MM (7.43%)** (-5,5) 75% Lang, Stulz, Walkling +11.3%** (-5,5) N/A (1989) Franks, Harris, Titman +3.9%** (-5,5) N/A (1991) Servaes (1991) +3.66%** (-1, ) N/A Bannerjee, Owers (1992) +$9.95 MM (-1,0) N/A Healy, Palepu, Ruback +9.1%** (-5,5) N/A (1992) Kaplan, Weisbach +3.74%** (-5,5) 66% (1992) Berkovitch, Narayanan +$120 MM** (-5,5) 75% (1993) Smith, Kim (1994) +8.88%** (-5,5) 79.1% +3.79%** (-1,0) 73.8% Leeth, Borg (2000) +$86 MM (-40,0) 56.6% Mulherin, Boone (2000) +3.56% (-1,+1) N/A Mulherin (2000) +2.53%** (-1,0) 66% Houston (2001) +0.14% ( ) +3.11%** ( ) %** ( ) 64 Bruner(2002) (-4,1) N/A / **

70 Meeks (1977) ROA( ) Salter Weinhold ROE( )NYSE( )ROE 44%,ROA 75% (1979) 16 Mueller (1980) ROE, ROA ROS( ) Mueller (1985) 100 ( ) Ravenscraft, Scherer ROA (1987 ) 3.1% Ravenscraft, Scherer ROA 0.5% (1987 ) Herman, Lowenstein ROC( )14.7% 19.6% (1988) Seth (1990) ( ) ( ) % ( ) 12.9% 102 ( ) -3.6% Healy, Palepu, 50 ( ) Ruback (1992) Chatterjee, Meeks (1996) (13-22%) Dickerson, Gibson, 5 ROA 2% Tsakalotos (1997) Healy, Palepu, 50 Ruback (1997) Parrino, Harris % Parrino, Harris Ghosh, Bruner(2002)

71 CAPM Trenor CAPM = + CAPM β β σ β = σ im 2 m cov( Ri, Rm ) = var( Rm ) cov( R, R ) i m i Var(R m ) β CAPM E( R i ) = R f + β i E R m ) R f )

72 E ( R ) i i R f β i ( ) E( R m ) R f MRP K E K E = E( Ri ) = R f + βi E R m ) R f ) R f E( R CAPM m ) R f β β Fama Macbeth E. Fama and J. Macbeth1973 RiskReturnsand equilibriumempirical Test Journal of Political Economy

73 ()

74 () ()

75 ()

76 % 0.0% 10.0% 20.0% 30.0% 40.0% 50.0% 60.0% % 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% 18.0% 20.0% % 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0%

77 % 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% % 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% % -1.5% -1.0% -0.5% 0.0% 0.5%

78 4.0% 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% % -0.5% -1.0%

79 % 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0% 45.0% % 0.0% 5.0% 10.0% 15.0% 20.0% % 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% 18.0%

80 % 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% 10.0% % 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% % 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0%

81 5.0% 4.0% 3.0% 2.0% 1.0% % -1.0%

82 T Agrawal, A., J.F. Jaffe and G.N. Mandelker. "The Post-Merger Performance of Acquiring Firms: a Re-Examination of an Anomaly." Journal of Finance XLVII, no.4, 1992, pp Amihud, Y., and B. Lev., Risk Reduction as a Managerial Motive for Conglomerate Mergers, Bell Journal of Economics. 12(Autumn 1981), Asquith, P.; R. Bruner; and D. Mullins, Jr. Merger Returns and the Form of Financing, Proceedings of the Seminar on the Analysis of Security Prices 34(No. 1, May 1987): Asquith, P.; R. Bruner; and D. Mullins, Jr. The Gains to Bidding Firms From Merger, Journal of Financial Economics, 11 (No. 1, April 1983): Asquith, P.; R. Bruner; and D. Mullins, Jr. The Gains to Bidding Firms From Merger, Journal of Financial Economics, 11 (No. 1, April 1983): Barclay, M.J. and J.B. Warner. "Stealth Trading and Volatility: Which Trades Move Prices?" Journal of Financial Economics, 34, 1993, pp Berkovitch, Elazar, and M.P. Narayanan, Motives for takeovers: An Empirical Investigation, Journal of Finacial and Quantitative Analysis, 28, September 1983, pp Bradley M., An and Desai and E.Han Kim Synergistic Gains form Corporate Acquisitions and their Decision between the Stockholders of Target and Acquiring Firms (J), Bradley, M., A. Desai, and E.H. Kim, Specialized Resources and Competition in the

83 Market for Corporate Control, Working paper, Ann Arbor MI, University of Michigan, Bradley, M., A. Desai, and E.H. Kim. The Rationale Behind Interfirm Tender Offers: Information or Synergy? Journal of Financial Economics 11(Nos. 1-4, April 1983) Bradley, M.; A. Desai; and E.H. Kim. Synergistic Gains from Corporate Acquisitions and Their Division Between the Stockholders of Target and Acquiring Firms, Journal of Financial Economics, 21 (No. 1, May 1988): Byrd, J. and K. Hickman. Do Outside Directors Monitor Managers? Evidence From Tender Offer Bids, Journal of Financial Economics, 32 (No. 2 October 1992): Caves, R. Mergers, Takeovers, and Economic Efficiency, International Journal of Industrial Organization, 7 (No. 1 March 1989): Chatterjee, R. and G. Meeks. The Financial Effects of Takeover: Accounting Rates of Return and Accounting Regulation, Journal of Business Finance & Accounting, 23 (No. 5/6, July 1996): Cotter, J., A. Shivdasani, and M. Zenner. Do Independent Directors Enhance Target Shareholder Wealth during Tender Offers?, Journal of Financial Economics, 43: (1997). 29. Datta, D.K., G.E. Pinches, and V.K. Narayanan, Factors Influencing Wealth Creation from Mergers and Acquisitions: A Meta-Analysis, Strategic Management Journal, 13(No. 1, January 1992): DeLong, G., Stockholder gains from focusing versus diversifying bank mergers, Journal of Financial Economics, 59 (No. 2, February 2001) Dennis, D. and J. McConnell, Corporate mergers and security returns, Journal of Financial Economics, 16 (No. 2, June 1986) Dickerson, A.; H. Gibson; and E. Tsakalotos. The Impact of Acquisitions on Company Performance: Evidence From a Large Panel of U.K. Firms, Oxford Economic Papers, 49 (No. 3, July 1997): Dodd, P. and R. Ruback, Tender offers and stockholder returns: An empirical analysis, Journal of Financial Economics, 5, (No. 3, December 1977): DoeswijkRonald Q.and Hemmo S. K. Hemmes, 1999Mergers and Acquisitions: Reaction of Price and Earnings Estimates Synergies are cited by managers, but hard to find. Working Paper. 35. Eckbo, B.E., Horizontal Mergers, Collusion, and Stockholder Wealth, Journal of Financial Economics 11(No. 1-4, April 1983) Eckbo, E. and K. Thorburn. Gains to Bidder Firms Revisited: Domestic and Foreign Acquisitions in Canada, Journal of Financial and Quantitative Analysis, 35 (No. 1, March 2000): Firth, M. Takeovers, Shareholder Returns, and the Theory of the Firm, Quarterly

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中国科技论文在线 710061 1994-1998 Acquiring firms 1. 1.1 abnormal returns methodology R E(R) AR abnormal returns AR=R-E(R) 1-1 - Jensen Ruback(1983) Target firms 20% 30% Schwert 1996 1975-1991 1,814 CAAR Cumulative average