上市公司兼并收购可预测性

Forecastability of Merger and Acquisition of Listed Company

:公司并购预测与财务危机、盈利能力和股票价格的预测一样 ,一直是金融经济学理论与实务界关注和争论的问题。能否预测上市公司并购的发生 ,意味着能否依据公开信息战胜市场从而获取超额收益。本文采用Logit条件概率模型对我国A股市场1 998年至 1 999年间发生的上市公司兼并收购进行了实证分析和检验。所得到的估计模型对并购的发生有较强的解释能力 ,但无法取得满意的预测结果。本文的结论支持股票市场半强式有效假说。

The forecastability of merger and acquisition of companies,like that of bankruptcy,profitability and stock price,is a hot issue debated among financial economists and investors for long time.Whether the merger and acquisition can be predicted,means whether excess profits can be gained according to public information.This paper studied the merger and acquisition of Chinese A share listed companies during 1998—1999 by means of Logit conditional probability model.The estimating model can strongly demonstrate the merger and acquisition,yet satisfied prediction is not able to be achieved.The empirical results support the semistrong efficient market hypothesis.