Analysis of Announcement Effect of Mergers for Financial Intermediary Groupings

[[abstract]]本文藉由事件研究法，以西元1999年11月17日至2008年11月6日之國內上市（櫃）公司「合併宣告」事件為研究樣本，將我國金融機構劃分為金融控股公司、銀行、證券、票券、信託投信投顧、壽險、產險公司七大產業，分類研究我國金融機構「合併宣告」訊息事件的股價效果。透過似無關迴歸方法建構多變量迴歸模型聯合檢定估計金融業之合併宣告事件的異常報酬，計算事件期間的趨勢變化，並且針對不同產業性質對於宣告效果的反應是否有差異、站在主併者與被併者的角度反應市場之投資行為與合併宣告效果的實證結果詮釋，研究結果顯示： （一）我國金融業在合併宣告期間有顯著正向的異常報酬，且在發佈合併宣告訊息前有提前反應的現象。 （二）銀行業、證券業、票券業、信託投信投顧、壽險業、產險業對於合併宣告事件，有顯著正向的累積平均異常報酬，唯獨我國金融控股公司的累積平均異常報酬效果不顯著且為負值。 （三）主併公司（Bidder Firm）對於合併宣告事件產生不顯著負向的異常報酬；被併公司（Target Firm）對於合併宣告事件產生顯著且正向的異常報酬，並且對我國金控業產生不顯著負向的異常報酬原因提出相關佐證。[[abstract]]The study measures the impact of the merger announcement on the security prices of financial intermediary groupings by using Event study methodology The sample of this study includes all mergers of publicly listed companies consisting of financial holding company banking securities bills department securities investment trust company life and property & casualty insurance companies which occurred during the period from November 17 1999 to November 6 2008 The MVRM consists of a set of SUR to test the abnormal return generating process on the occurrence and non-occurrence of the events of merger announcements Through the joint hypothesis to view the different results by industry we consider the role of target and bidder firms in the announcement effect for different Financial Intermediary Groupings The study finds that before the day of announcement the financial industry appeared significantly positive abnormal returns around the merger period The announcement effect to target firms of Banks Securities Bills departments Securities Investment Trust companies life and Property & Casualty Insurance companies appears significantly positive abnormal But to financial holding company it appears non-significantly negative abnormal A further analysis shows that bidder firms have the similar result