异质预期、非理性行为与并购绩效——基于上市公司的实证研究

Heterogeneous Expectations,Irrational Behavior and Post Acquisition Performance:Evidence from Chinese Listed Companies

本文运用事件研究法,对2002—2005年的沪深上市公司并购行为进行了调查,发现反映投资者非理性行为的市场换手率、封闭式基金折价指数和个股超额换手率与公司并购后超额收益存在显著负相关关系。本文认为,Miller(1977)的观点并不完全成立,投资者异质预期并不是导致公司并购前股票上升和并购后股价下跌的主要原因,投资者非理性行为扮演着重要的作用,股票的定价应该更充分考虑投资者的非理性行为。

It is a puzzling phenomenon that comities show significant negative correlation in stock market after acquisitions. Applying with event study method, this paper examines the samples of 895 acquisitions from 2002 to 2005, and discovers the significant relationships between irrational variables and company post - acquisition performances： the higher the market turnover is, the bigger negative correlation CEFD index and stock extra turnover lead to. ROA also shows a significant effect. It suggests that Miller＇s viewpoint is not exactly correct, because investors＇ heterogeneous expectations will not definitely push up the stock prices under short shale constraints, while investors＇ irrational behavior plays more important roles. Investors＇ irrational behavior should be more considered in stock pricing.