為瞭解上市公司股利政策改變，由股票股利變更為發放現金股利政策之初次宣告效果，本研究以蒐集台灣證券交易所掛牌上市之公司，於2001年1月至2005年12月間，股利政策有變動且首次宣告發放現金股利之資訊電子類股公司，且宣告日前至少有150個交易日資料之公司，共計71個研究樣本。利用事件研究法之市場模式為計算模型，並以一般化之自我相關異質條件變異數模式，分析檢定事件宣告所造成之異常報酬。 本研究以事件研究法，將董事會宣告發放現金股利宣告為事件日（t=0），t=-150~t=-31共120天為估計期，t=-30~t=30共61日為事件期，利用樣本公司之日股價資料，分析異常報酬率。分析方式除針對事件期各日之平均異常報酬率分析外，另開立五個事件窗口，探討各窗口之累積異常報酬率是否顯著，藉以分析事件影響效果。另股利政策改為發放現金股利宣告時，針對當年度與前一年度之股利發放變化程度不同及事件宣告年度市場多、空頭景氣等因素，將樣本分類並分析檢定，在不同條件下之異常報酬率是有否仍顯著。經實證分析，獲得以下結論： 一、公司改變股利政策，由股票股利變更為現金股利的首次宣告事件，對投資人而言，具有公司對未來投資機會認知的資訊內涵。 二、公司改變股利政策由股票股利變更為發放現金股利之首次宣告，投資人對此政策反應抱持正面看法，股價會有兩波上漲趨勢，第二波會有顯著異於零之正異常報酬率。 三、公司改變股利政策，由股票股利變更為現金股利之首次宣告，當年度總發放股利與前一年度比較，股利發放變動大小會影響宣告時市場投資人之投資意願，投資人會隨減少發放股利量而延緩對此政策之正面買進股票反應，事件日後10日內股價會有一波正異常報酬反應。

本研究探討台灣50指數成分股變動造成的異常報酬與超額交易量現象，提供投資人作為選股參考，由於台灣50指數編製依據為總市值，僅使用公開資訊，可以用來檢驗效率市場假說。不同於過去研究的貢獻，本文考慮金融資產報酬的波動群聚現象及模型係數的不穩定性，分別使用卡爾曼濾嘴法及GARCH(1,1) 模型修正，以期獲得較穩健的實證結果。本研究結果發現，新增股及剔除股在宣告日的下一個交易日及生效日的前一個交易日有顯著異常報酬；新增股的累積異常報酬可持續大約兩個工作星期，且新增股有持續的超額交易量情形；而剔除股僅在生效日及生效日的前一個交易日有超額交易量。上述實證結果顯示投資人可利用此公開資訊，獲得異常報酬，不支持效率市場假說。 / We study the price and volume effects following the Taiwan 50 Index revisions. Since the decision to include (exclude) a stock in (from) the index is based merely on market capitalization, it provides a unique opportunity to test the efficient market hypothesis. Our contribution to the existing literature lies in the fact that we employ the Kalman filter approach and the GARCH(1,1) model to allow the parameters instability and time-varying residual variance, and hence to produce more robust empirical results. The results suggest that the newly added stocks and the currently dropped stocks experience significant price changes right after the announcement day and right before the change day; the abnormal returns of the newly added stocks last about two weeks, these stocks also exhibit persistently excessive trading volume while the currently dropped stocks only have excessive trading volume on and right before the change day. These results indicate that investors can earn abnormal returns through public information, and invalidate the efficient market hypothesis.

本文研究自1997年至2007年，dotcom公司更名之長期與短期宣告效應，樣本包括名稱增加dotcom或剔除dotcom的兩類公司。過去文獻指出dotcom公司更名在-30天到+30天期具有顯著為正的累積超額報酬。與以往文獻不同，我們關心dotcom公司更名帶來的正報酬是否能持續，抑或宣告後的效果終將轉為負報酬，減損股東財富。實證結果顯示，雖然在事件日出現顯著3.14%的正累積超額報酬，但120天與360天事件窗口累積超額報酬均為顯著負值，分別為-55.52%與 -156.09%，所以dotcom公司更名的妝飾效果(cosmetic effect)為暫時的現象。故在長期，投資人若在網路熱潮時期買進新增dotcom於其名稱的公司的股票，損失很可能會隨著時間而擴大。此外，我們也發現更名公司的基本價值(fundamental values)在更名的前後兩年並無顯著差異，因此投資人對於股價的反應僅基於情緒(sentiment)，而非出於他們對基本價值的觀察。另一方面，研究樣本公司在 I/B/E/S資料庫中的一致性分析師盈餘預測，發現分析師對此類更名公司的下一季盈餘預測往下修正，但此下修應屬系統性現象。在預測誤差方面，分別探討網路熱潮期與冷卻期的預測誤差後，發現後者為-$0.2650，具有10%顯著水準。故可推論此時期分析師所掌握的資訊較為不足，或是來自世界各地的分析師意見不一致。此外，由於分析師盈餘預測可代表投資人對市場的預期，故在網路冷卻期，投資人對更名公司股價的反應是不理性的。 / This paper investigates long-term versus short-term effects of dotcom corporate name changes from 1997 to 2007. The sample contains a combination of name change events on which firms add dotcom to, or remove dotcom from their names. We attempt to examine whether announcement effects of dotcom name changes last long, or are prevailed by post-announcement negative drift eventually. On the announcement date, we find firms earn significant abnormal returns on the order of 3.14%. However, firms yield negative CARs over the 120- and 360- day window, which are -55.52% and -156.09%, respectively. These results suggest that firms can create shareholder’s wealth by dotcom name changes, but cosmetic effects of their name changes are simply transitory. Due to this finding, we suggest investors who experienced loss on stocks of dotcom addition firms should aware that their loss continues growing as time goes by. Next, the fact that fundamental value of our sample firms does not change significantly indicates that investors are affected by market sentiment, rather than driven by changes of fundamental value. Furthermore, we examine consensus analysts’ EPS forecasts from I/B/E/S database. EPS forecasts are used as proxies of investors’ expectations. We find analysts revise downwards in EPS forecast changes of name change firms. However, there is no significant difference between the sample and the benchmark group, in terms of forecast changes. Accordingly, we conclude that analysts systematically revise their estimates downward. Moreover, forecast errors in the Internet-cold period is $-0.2650 and significant at 10 percent level. We infer that analysts do have sufficient information or consensus. Thus, investors are irrational in response to dotcom name change announcements in the Internet-cold period.

隨著經濟走向自由化、國際化，且台灣亦公布企業購併法後，合併及收購等外部成長模式逐漸受到重視，而台灣證券交易市場目前資本來源比重也與過去以散戶為大宗的情況有別，近年來機構投資人交易扮演重要的角色，故本論文希冀探討機構投資人交易與台灣上市主併公司購併宣告效果的關聯。 本論文以台灣購併案件為探討對象，排除金融業相關案件，取樣自2003年至2012年間宣布購併的交易案件，以三大法人（外資法人、投信公司、證券自營商）為機構投資人代表，並且採用其每日買（賣）超股數占總流通股數比例做為交易指標，分別以市場模型及市場指數調整模型計算累積異常報酬率，探討機構投資人交易是否隱含對投資標的經營團隊品質的認證價值，進而反應在主併公司在（-1,+1）、（-2,+2）、（-3,+3）事件窗口下之購併宣告效果。 實證結果主要有以下幾點發現：首先，本研究發現三大法人累積淨買（賣）超與主併公司購併宣告累積異常報酬率在即期事件窗口（-1,+1）及（-2,+2）下均呈現顯著正向關係；第二，獲得三大法人累積淨買超之主併公司之購併宣告累積異常報酬率在（-1,+1）期間顯著高於三大法人累積淨賣超之主併公司，顯示機構投資人交易對主併公司經營團隊有品質認證價值；第三，三大法人中外資法人累積淨買（賣）超與主併公司購併宣告效果有顯著正向影響，而投信公司、證券自營商則與主併公司購併宣告後累積異常報酬率無顯著關係。 / This study investigates the relationship between institutional trading and the announcement effect of merger and acquisition. The research is based on acquiring firms listed in Taiwan which announced merger and acquisition between 2003 and 2012. We use cumulative net buying of three representative institutional investors including foreign institutions, mutual funds, and brokers to examine acquirer’s short-run stock performance around the announcement of merger and acquisition. First, the results indicate that cumulative net buying of total institutional investors is positively related to the short-run stock performance of acquirers. Second, acquirers with increase in institutional holdings prior to the merger and acquisition have better short-run stock performance than acquirers with decrease in institutional holdings. Third, the relationship between cumulative net buying of foreign institutions and the announcement effect of acquirers is significantly positive while cumulative net buying of mutual funds or brokers has no significant relationship with the short-run stock performance of acquirers.

Après avoir proposé un cadre général des opérations de fusion‐acquisition, notamment en tant que processus créateur de valeur, nous examinons empiriquement les effets de leur annonce au travers de trois essais. Premièrement, nous étudions les réactions intra‐journalières des investisseurs lors d’annonces diffusées aux États‐Unis. Nous trouvons des gains pour la cible, alors que l’impact s'avère neutre pour l’acquéreur. Ces résultats se déroulent dans une activité de marché soutenue, conjointement à une amélioration de la liquidité. Deuxièmement, nous étendons l’analyse aux concurrents des acquéreurs et des cibles. Considérant le marché canadien, la diffusion de l’information affecte négativement leurs rivaux. Troisièmement, nous soulignons les conditions sous lesquelles les dirigeants écoutent les marchés financiers. Analysant un échantillon d’acquisitions françaises, nous montrons que les dirigeants connectés sont plus enclins à réaliser une acquisition en dépit d’une réaction négative des marchés financiers lors de l’annonce. / After providing a general framework of merger‐acquisition, in particular as value‐creating process, we examine empirically the effects of their announcement through three essays. First, we study the intraday market reactions to announcements in the United‐States. We find gains for target firms, while acquiring firms do not earn significant abnormal returns. These results occur in a high trading activity and animprovement of liquidity. Second, we extend the analysis to the competitors of merging firms. Considering the Canadian evidence, the release of information affects negatively their rivals. Third, we study the conditions under which managers are more willing to listen to investors. Analyzing a sample of French acquisitions, we find that the well‐connected managers are more likely to complete a deal in spite of a negative market reaction on acquisition announcement.

Syftet med studien är undersöka hur förvärvsmetoden påverkar de uppköpande företagens abnormala avkastning på kort sikt, samt utröna huruvida företagens branschtillhörighet har en betydelse för reaktionen. I studien tillämpas tre teorier och flertalet tidigare forskningar som är av relevans för studien. De teorier som nyttjas är olika former av förvärv, effektiva marknadshypotesen och signalteorin. Denna studie utförs av en kvantitativ och komparativ ansats med hjälp av en eventstudie där 64 företagsförvärv observerats. Förvärven är uppdelade på 4 olika branscher och fördelade inom tillvägagångssätten aktie- och inkråmsförvärv. Dessa förvärv har undersökts under en elvadagarsperiod, fem dagar innan till och med fem dagar efter offentliggörandet. Den insamlade sekundärdata som bearbetats har erhållits från Nasdaq OMX, Google Finance och databasen Zephyr. Resultaten enligt denna studie förmedlar om att ett inkråmsförvärv är att föredra i jämförelse med aktieförvärv, detta med undantag för företag i sällanköpsvarubranschen som gynnas av ett aktieförvärv. Det går även att urskilja hur hälsovårdsbranschen är den bransch som gynnas mest vid offentliggörande av företagsförvärv, sett till den abnormala avkastningen. / The purpose of the study is to examine how the acquisition method affects the purchasing companies’ abnormal returns in the short term, and to ascertain whether the companies’ industry affiliation has an impact on the reaction. The study applied three theories and a number of previous researches that are of significance to the study. Theories used are different forms of acquisitions, the efficient market hypothesis and the signal theory. This study was made by a quantitative and comparative approach using an event study where 64 acquisitions were observed. The acquisitions were divided into four different industries and distributed in the approaches of share- and asset acquisitions. These acquisitions have been observed during an eleven-day period, five days before to five days after publication. The collected secondary processed data has been collected from Nasdaq OMX, Google Finance and the database Zephyr. The results according to this study conveys that an acquisition of asset is preferable in comparison with the acquisition of shares, except for companies in the consumer discretionary sector as seen benefits from an acquisition of shares. It is possible to discern how the healthcare sector is the one that benefits most in the publication of an acquisition, in terms of the abnormal returns.

Purpose: The purpose of the study was to analyze whether initial public offerings had an impact on rival firms. Theory: The efficient market hypothesis model, Information asymmetry and the signal theory. Method: A quantitative approach in the methodology has been undertaken where an event study was constructed in order to measure cumulative average abnormal return. The empirical data used in the study consists of 243 rival firms that had an initial public offering occurring in their industry. Two hypotheses have been tested using the simple t-test. Results: A compilation of the abnormal return of rival firms was made which showed no clear patterns of an impact taking place. When testing the two hypotheses both were rejected which showed that no significant impact took place. Analysis: According to previous research and theories an impact on the rival firms should have shown but the different sample might be the reason of our results being different. Conclusion: Due to the two hypotheses being rejected the event study finds no significant evidence of an abnormal return occurring in connection to the initial public offering of a rival firm. / Syfte: Studiens syfte var att kartlägga om börsintroduktioner hade någon påverkan på konkurrerande företag. Teori: Den effektiva marknadshypotesen, Signalteori och asymmetrisk information. Metod: Studien använde en kvantitativ typ som övergripande forskningsdesign. En deduktiv ansats användes där teorier låg som grund till skapandet av hypoteser. Tillvägagångssättet var med en eventstudie som lämpar sig bra för stora mängder data. Studien använde aktiekurser från 243 konkurrerande företag. Resultat: En sammanställning gjordes av konkurrerande företags abnormala avkastning vilket inte visade något tydligt mönster för att påverkan finns. Vid test av hypoteser förkastades både hypoteserna vilket gav resultatet att ingen påverkan fanns. Analys: Enligt tidigare forskning och teorier borde en påverkan kunna utläsas. Skillnaden på urval kan vara en anledning att tidigare studier fått andra resultat. Slutsats: Den kumulativa genomsnittliga abnormala avkastningen gjorde rörelser vid de olika mätdagarna något mönster går inte att urskilja och den insamlade data som användes visade inget signifikant resultat vid hypotestest.

De nos jours, nous remarquons la transition marquante d’une économie fondée sur les actifs matériels vers une économie basée sur les actifs immatériels. Cette tendance s'illustre à travers l’augmentation des investissements en R&D donnant lieu au dépôt d’un nombre important de brevets. Néanmoins, une minorité seulement détient une valeur financière. Ces constats nous ont conduits à nous interroger sur les facteurs favorisant le renouvellement ou l’abandon d’un brevet. Dans notre quête d’éléments de réponse à cette première problématique, nous avons défini trois phases stratégiques du cycle de vie des brevets : l’abandon de procédure, l’abandon naturel, et l’abandon tardif. De plus, les résultats des régressions logistiques mettent en évidence deux variables : la durée de délivrance et le nombre cumulé de brevets citant. En l’absence d’un traitement adéquat, la valorisation des intangibles demeure au centre des recherches et débats. Les théoriciens et chercheurs confirment que ces actifs influencent significativement la perception du marché de la valeur financière des entreprises détentrices d’actifs immatériels (surévaluation). Ce faisant, cette recherche tente de répondre par ailleurs à la question : comment le marché financier réagit-il à la diffusion de nouvelles informations relatives aux brevets détenus par une firme ? Nos recherches nous ont permis de mettre en évidence le rôle de l’asymétrie d’information dans la valorisation des brevets. Ainsi, la capitalisation boursière de l’entreprise détentrice du brevet est positivement corrélée avec l’information disponible relative aux brevets même si l’ampleur de la rentabilité anormale cumulée est fonction de l’industrie / Recently we notice a striking transition from an economy based on tangible assets to a knowledge economy based on intangible assets. This trend is illustrated through increased investment in R&D resulting in the filing of a large number of patents. However, only a minority of these has a financial value. These facts led us to wonder about the factors that lead to the renewal or abandonment of a patent.In our quest for answers to this first issue, we defined three strategic phases of patent life cycle: process abandonment, natural abandonment, and late abandonment. In addition, results of simple logistic regressions reveal two variables: the duration of delivery and the cumulative number of citing patents.The incorporation of intangible assets in the balance sheet is a real dilemma without an adequate treatment. Even though the valuation of intangibles remains at the heart of many studies and debates, theorists and researchers confirm that these assets significantly influence the market's perception of the financial value of holding companies (overvalued). Within this framework, this research attempts to answer this question as well: How does the financial market react to the dissemination of new information on patents held by a company?Our research allowed us to highlight the role of informational asymmetry in the valuation of patents. Thus, the market capitalization of the patent holder is positively correlated with available information. Finally, we notice that the magnitude of the cumulative abnormal return is a function of the industry

Titel: En studie av den positiva marknadsreaktionen vid VD-byten i norden. Nivå: Examensarbete på Grundnivå (Kandidatexamen) i ämnet företagsekonomi Författare: Malin Ahlqvist och Niklas Örn Handledare: Jan Svanberg Datum: 2019 – juni Syfte: Syftet med denna studie var att analysera hur den nordiska marknaden reagerar på tillkännagivandet av en ny VD samt att analysera hur faktorerna; kön, ålder samt rekryteringskrets kan påverka denna reaktion. Metod: Studien har en positivistisk forskningsfilosofi med en deduktiv utgångspunkt. Studien tillämpar en eventstudie, vilket således förknippas med en kvantitativ forskningsmetod. Resultat & slutsats: Studiens resultat visade en positiv marknadsreaktion i Norden i samband med tillkännagivandet av ett VD-byte. Studien visade även en positiv marknadsreaktion för både kvinnor och män. Vidare tyder studien på att marknadsreaktionen är positiv i Sverige och Finland respektive negativ i Danmark och Norge. Marknadsreaktionen för män under medianålder var positiv medans reaktionen för män över medianåldern var negativ, marknadsreaktionen för kvinnor baserat på ålder är motsatta. Studien visade även att det fanns en positiv reaktion då den tillträdande VD:n är internt rekryterad samt en negativ reaktion då den tillträdande VD:n är externt rekryterad. Vissa delar av resultatet var dock inte signifikanta, det gick därför inte att utesluta att vissa delar av resultatet är slumpmässigt. Examensarbetets bidrag: Detta examensarbete bidrog till att fylla det forskningsgap som fanns gällande marknadens reaktion vid VD-byten relaterade till ålder, kön, rekryteringskrets samt ett jämförande nordiskt perspektiv. Förslag till fortsatt forskning: Studien visade vid flera tillfällen en signifikant reaktion dagen före själva tillkännagivandet av VD-bytet, detta ansåg vi vore ett intressant att fortsätta undersöka. Vi skulle med intresse ta del av en studie vilken presenterar en förklaring till denna signifikanta reaktion. Ytterligare tre förslag på fortsatt forskning presenteras i studien. / Title: A study of the positive market reaction to CEO changes in the Nordic region. Level: Student thesis, final assignment for Bachelor Degree in Business Administration  Authors: Malin Ahlqvist and Niklas Örn Supervisor: Jan Svanberg Date: 2019 - June Aim: The purpose of this study is to analyze how the Scandinavian market reacts to the announcement of a new CEO and to analyze how the factors gender, age and recruitment method can affect this reaction. Method: The study has a positivistic research philosophy with a deductive basis. The study applies an Event study and is thus associated with a quantitative research method. Result & Conclusions: The results of the study indicate a positive market reaction in Scandinavia at the announcement of a CEO change. The study also indicates a positive market reaction for both women and men. Furthermore, the study indicate that the market reaction is positive in Sweden and Finland as well as negative in Denmark and Norway. The market reaction for men under median age is positive while the reaction for men over median age is negative, the market reaction for women based on age is opposite to men. The study indicates that there is a positive reaction when the incoming CEO is internally recruited and a negative reaction when the incoming CEO is externally recruited. However, some parts of the results are not significant, therefore it cannot be ruled out that certain parts of the results are random. Contribution of the thesis: This thesis contributes to fill the research gap that exists regarding the market reaction to CEO changes related to age, gender, recruitment method and a comparative Scandinavian perspective. Suggestions for future research: This study shows on several occasions a significant market reaction the day before the actual announcement date of the CEO change, we believe a study to further study the reason behind this result would be of interest. Two more suggestions for further research are presented in the study.

Studien undersöker den abnormala avkastningen för de 100 största förvärven genomförda av svenska företag mellan 2007-2017. Studien beaktar även variabler som kan vara påverkande faktorer för denna avkastning. Variablerna som undersöks i denna studie är; betalningsmetod, affärsstorlek samt förvärvsland. Tillvägagångssättet som tillämpades för att mäta den abnormala avkastningen var i form av en eventstudie. Hypoteser framläggs utifrån studiens referensram, som sedan prövas via signifikanstest och multipel regressionsanalys. Resultaten visar en totalt positiv marknadsreaktion vid tillkännagivandet av förvärv. Samtliga portföljer genererar en värdeskapande affär, med undantaget av förvärv som uppstått i samband med kontantbetalning. Stora förvärv påvisade högre genomsnittlig kumulativ abnormal avkastning än för små förvärv. Ett signifikant samband mellan förvärv finansierade av kontanter och positiv abnormal avkastning påvisades. Däremot visar studiens resultat att förvärv finansierade med aktier/tillgångar genererade en högre genomsnittlig kumulativ abnormal avkastning jämfört med förvärv som var finansierade med kontanter. Detta resultat påvisar dock ingen signifikans. Ytterligare påvisas en högre positiv abnormal avkastning under händelsefönstret, för utländska förvärv. Det existerar ett signifikant samband, på 90%, mellan betalningsmetoden kontanter och den kumulativa genomsnittliga abnormala avkastningen. Studien fann inte ett signifikant samband för varken storlek på förvärv eller huruvida förvärvet var inhemskt eller utländskt och den kumulativa abnormala avkastningen. / This study examines the abnormal return for the 100 largest acquisitions made by Swedish companies between 2007-2017. The study also considers variables that may be influencing factors for the abnormal return. The variables examined in this study are; payment method, deal size and country of acquisition. The approach used to measure the abnormal return was an event study method. Hypotheses are presented based on the study's frame of reference, which is then tested via significance test and multiple regression analysis. The results show a total positive market reaction when announcing acquisitions. All portfolios generate value creation, with the exception of acquisitions with connection to cash payment. Large deal value acquisitions showed higher average cumulative abnormal returns than for small deal value acquisitions. A significant relationship between acquisitions financed by cash and positive abnormal returns was demonstrated. However, the study's results show that acquisitions financed by shares/assets generated a higher average cumulative abnormal return compared to acquisitions that were financed with cash. However, this result shows no significance. Further, a higher positive abnormal return is shown, during the event window, for foreign acquisitions. There is a 90% significant relationship between the cash payment method and the cumulative average abnormal return. The study did not find a significant relationship between either deal size or domestic/foreign acquisitions and the cumulative abnormal return.