Exchange Risk and Abnormal Returns of Cross-border M&As in Taiwan

[[abstract]]摘要 隨著國際金融環境日趨複雜化，企業不論是否從事進出口貿易，或完全在國內營運的公司，都會直接或間接面臨匯率風險，因而改變公司的資產價值、成本和收益等現金流量，使公司的價值產生變動。且國際開放及網際網路的興起，近幾年來不斷地掀起購併風潮，所以，當前國內環境的快速變化，使得台灣企業基於產業結構轉型與發現新市場等因素，進而對外直接投資。 本研究以1993年到2002年為研究期間，68家台灣上市主併公司之跨國購併宣告為樣本，以OLS方法研究匯率變動對股票報酬率的影響，並進而探討決定異常報酬的因素。實證顯示，在電子業、塑膠業、紡織業、橡膠業和百貨業有顯著的匯率曝露係數風險，就整體樣本而言，跨國購併宣告之效果有助於匯率曝露風險的減少。在探討異常報酬方面，使用一因子模型和二因子模型的比較，跨國購併宣告前一天之一因子模型異常報酬會顯著高估主併公司購併宣告的效果，誇大敘述公司的價值。另外，在探討異常報酬的因素上，存貨週轉率、股東權益報酬率、稅後淨利率和流動比率與累積異常報酬呈現顯著的相關性。所以，投資者可藉由這些變數來衡量跨國購併宣告的效果，亦即短期償債能力愈低的，主併公司會產生較高的購併宣告效果；經營能力愈佳的，獲利能力愈高，主併公司也會產生較高的購併宣告效果。[[abstract]]With increasing levels of globalisation and international competition, managers are facing ever more complex strategic decisions and risk. Exchange rate variability is a major source of macroeconomic uncertainty affecting firms in an open economy. The research sample includes 68 events of which cross-border M&As declared for the first time during the period from 1993 to 2002. The purpose of this paper is to explore the impact of cross-border M&As on the exchange rate exposure of acquirers, and the impact of cross-border M&As on the valuation of acquirers. We show that, the coefficient of exchange rate exposure are significant in electronics, plastic, textile, rubber, and retailer. After cross-border M&As, the average firm in our sample enjoys a reduction in foreign exchange exposure. Again, the cross-border M&As serves to reposition the acquirer’s operations and subsequently reduces its economic exposure to foreign exchange risk. We compare the valuation effects generated by a single-factor model to those of a two-factor model that controls for the exchange rate effect. Our results show that, abnormal returns generated by the single-factor model are significantly high than those of the two-factor market model. Thus, there is further indication that valuation effects may be overstated when exchange rate effects are not considered. Beside, we search the factors of abnormal returns. The factors for inventory turnover, return on equity, net profit margin and current ratio affect significantly the abnormal returns of firms, and they could provide the information for the investment