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平均數復歸對購併後主併公司績效表現影響之研究-以美國電子電機產業為例洪浩展 Unknown Date (has links)
本研究的目的,在於檢視購併案產生後,企業的報酬是否會受到平均數復歸(Mean reversion)的影響,而逐漸回復到產業的平均報酬。並且分析主併公司與被併公司佔雙方總資產比例的高低差異,所受到的不同影響程度。
本次研究的樣本採用1987~2006年中的美國電子電機產業共77件購併案,並依照主併公司佔雙方總資產的比例不同,分成為兩個群集。將兩群集做比較分析。實證結果顯示,兩個群集均有顯著的平均數復歸現象。而主併佔雙方總資產比例較高的群集,在購併第一年即有顯著的優於產業平均報酬,而主併與被併資產相近的群集,則是於第四年開始才有顯著的績效改善。根據實證結果,我們做出以下的結論:
1.企業的報酬具有平均數復歸的特性,表現優良的公司會被他人學習,而使整體產業平均報酬逐漸提升,漸漸蠶食原先與產業平均之間的差距;相反的,表現不佳的公司亦透過學習,逐漸改善自己的績效,也使的整體產業平均報酬上升,最後雙方都將趨向產業的平均水準。
2.當研究者要分析企業遭受偶發性事件(如購併)的影響時,應當考慮平均數復歸的所帶來的效果。如果忽略了平均數復歸所帶來的效果,將會對事件產生的影響給予錯誤的解讀。
3.面對購併績效的研究時,必須移除平均數復歸的負面效果,如此才得以正確估計購併後的績效表現。且此時主併公司資產佔雙方資產比例較高者,於購併第一年就有明顯的績效改善的效果,而雙方資產相近者,則在購併成立後第四年開始才有較佳的績效表現。 / The purpose of this research is to look over the return of enterprise can receive influence from mean reversion on post-merger performance. And it analyzes the degree of influence on acquirer companies with different proportion in total assets of both acquirer and target companies.
The sample of this research adopts 77 cases of electronic and electrical equipment industry of U.S.A. in 1987- 200, take according to the proportion of total assets of acquirer company in both total assets of acquirer and target company, divide into two clusters. Make comparative analysis of these two clusters.
According to the empirical results, we make the following conclusions:
1.The return of enterprises has characteristic of mean reversion. Both well performed companies and worse performed companies will move toward the whole industry's average return.
2.As the researcher wants to analyze the influence of enterprises suffered from the sporadic incident (such as M&A), they should consider the phenomenon of mean reversion. Take off the negative result of the mean reversion in order to estimate correctly for the exactly performance after M&A.
3.The acquirer companies which total assets have a higher proportion in both acquirer and target companies, will have superior to industry average return apparently in first year, and the acquirer companies which total assets close to the target companies, will have apparent improvement in performances until the fourth year.
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透過本益比之相對Mean-reverting現象進行盈餘管理模型之評比謝秋華 Unknown Date (has links)
整體而言,會計盈餘提供財務報表使用者有關於企業獲利能力之相關資訊。然而,由於會計盈餘同時包含了雜訊 (noises) 與偏差 (biases),因而影響到會計盈餘對公司獲利能力評價的正確性。因此,過去的會計文獻發展出不同的盈餘管理估計模型 (如: Healy 1985; DeAngelo 1986; Friedlan 1994; DeFond and Jiambalvo 1994 以及Dechow, Sloan and Sweeney 1995),以嘗試去除這些雜訊與偏差。然而,究竟哪一個估計模型能夠提供最為純淨之非裁量性淨利 (nondiscretionary income) 的衡量指標,則並無定論。在效率市場 (market efficiency) 的假說下,本研究透過本益比 (P/E ratio) 的平均數復歸 (mean-reverting) 現象來評比五種盈餘管理估計模型。由於過去的文獻同時發現盈餘成長率與風險係數均會影響本益比的高低,因此,本研究同時將這兩個變數納入考量。
實證結果發現,依照上述五種盈餘管理估計模型所估計之本益比皆有平均數復歸的現象。其中Friedlan (1994) 模型在全體樣本與控制盈餘成長率之後,其本益比平均數復歸現象均較其他模型為快;次佳之盈餘管理估計模型為DeFond and Jiambalvo (1994) 與Dechow et al. (1995) 兩模型;最差的則為 Healy (1985) 模型。 / Overall speaking, accounting earnings provide financial statement users with useful information about a firm's profitability. However, because of the biases and noises included in the accounting earnings, the accuracy and reliability of accounting earnings to the evaluation of a firm's profitability may be adversely influenced. In light of this, prior earnings management studies have developed various estimation models of nondiscretionary income (e.g., Healy 1985; DeAngelo 1986; Friedlan 1994; DeFond and Jiambalvo 1994; Dechow, Sloan & Sweeney 1995) with an attempt to remove the biases and noises embedded in the accounting earnings. Nonetheless, there is no consistent empirical evidence about the relative performance of these estimation models. Assuming market efficiency, the main purpose of this study is to utilize the mean-reverting phenomenon of P/E ratios to evaluate the relative performance of these models. Since prior studies have found that earnings growth rate and risk coefficient may affect the magnitude of P/E ratios, we also control for these two variables in our analyses.
The empirical results reveal several findings. First, P/E ratios calculated using different earnings management estimation models exhibit the mean-reverting phenomenon. Second, the Friedlan (1994) model has the best performance among all models when we use the overall sample and three subsamples grouped based on the earnings growth rate. In addition, the DeFond and Jiambalvo (1994) and Dechow, Sloan & Sweeney (1995) models perform moderately. Finally, the Healy (1985) model shows the worst performance.
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二篇有關股票價格平均數復歸的實證研究 / Two Essays on Mean Reversion Behavior of Stock Price in Taiwan阮建銘, Ruan, Jian-Ming Unknown Date (has links)
本論文是二篇探討與股票價格平均數復歸現象有關的實證文章。在第一篇文章中,我們將探討由於廠商特質所產生資金供需雙方訊息的非對稱,而引發的流動性限制對廠商股票價格行為的潛在影響;在第二篇文章中,我們研究的課題是在漲跌幅限制下,交易量與股票報酬自我相關的關係。 第一篇文章主要在探討由於廠商特質所產生資金供需雙方訊息的非對稱,而引發的流動性限制對廠商股票價格行為的影響。我們利用五個廠商特質-所有權結構、集團企業成員、上市時間、公司規模與現金股利的發放,定義面臨流動性限制的廠商,並使用變異數比率衡量股票價格平均數復歸的現象,由於小樣本的問題,我們將利用拔靴法檢定假說:廠商的流動性限制會強化其股票價格平均數復歸的行為。我們的實證結果並不一致,所有權結構、公司規模和集團企業成員的分組實證結果支持我們的假說,流動性限制會強化平均數復歸的行為;而上市時間與現金股利發放的分組實證結果並不支持我們的假說。 在第二篇文章中,我們使用與Campbell et. al. (1993)相同的實證模型,討論在漲跌幅限制下,交易量與股票日報酬自我相關的關係。由於漲跌幅限制的存在,當股票價格觸及漲跌幅上下限時,即停止交易,而使得真正的股票價格無法觀察到,因而未實現之需求或供給將會傳遞至下一個交易日,將使傳統OLS或其衍生方法的估計產生偏誤,而使用Chou和Chib (1995)與Chou (1995)所提的Gibbs抽樣法則可以成功地克服這些困難。所以,本文將應用Chou和Chib (1995)與Chou (1995)的Gibbs抽樣法來衡量台灣股票市場交易量對股票日報酬自我相關係數的影響,以避免漲跌幅限制的影響。本文採用台灣證交所編製的綜合股價指數所採樣的二十四家公司為樣本,利用日資料進行實證分析,實證結果支持「交易量效果」的存在。且在實證過程中,發現台灣股票市場股票日報酬的正自我相關有可能是漲跌幅限制的存在而造成的。
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