中国上市公司并购的短期财富效应实证研究

Empirical Study of M&A Short-term Wealth Effects

本文采用事件研究法对1998～2003年中国上市公司的2128起广义上的并购交易进行了全面分析。实证研究表明,在[-30,30]的事件窗内,总样本并购活动的确会引起显著的短期财富效应变动。分类研究发现,股权收购和股权转让类的子样本、目标公司的子样本、公用事业类和综合类的子样本、规模小于10%的子样本、现金支付方式的子样本、国有股比重最大和法人股比重最大的子样本,均在事件期内取得显著为正的超常收益,但累计超常收益的大小均不超过3%。

Event study method is adopted to review the 2128 M＆As in China capital market 1998-2003. The findings are that change of short wealth effect is discovered in all samples on the event window of [-30,30]. When we classify samples, sub-samples of purchase and transfer of stocks, target companies, public service companies and conglomerate companies, size less than 10% companies, pay-cash companies, companies of controlling stake interest and legal person interest have all produced significantly abnormal returns, but the cumulated abnormal stock returns （CAR） remain below 3%.