并购重组公告的短期财富效应研究——基于投资者有限注意的视角

Research on Short-term Wealth Effect of M&A Announcement Based on Investors' Limited Attention

基于投资者有限注意这一独特视角,实证研究了公司并购重组公告诱发的短期财富效应。研究结果表明:公告日前后,主并公司股票因不同投资者有限注意程度的不同而存在短期财富效应,且越临近公告日,短期财富效应越显著;同时,投资者自身注意力分散程度的周历分布特征会引起主并公司短期财富效应的周历变动,上市公司管理层也会据此对并购重组公告进行择机发布,导致财富效应周历变动更为显著;然而,投资者对上市公司特征关注的有限性,加剧了市场对并购重组的过度反应,提升了短期财富效应。因此,监管机构应当建立和完善重大信息披露机制,加强对投资者的教育和价值投资引导,而上市公司应当建立有效的内控制度,提高信息的透明度、真实性与及时性。

Based on the perspective of investors＇ limited attention,an empirical study is made onthe short-term wealth effect caused by MA announcement. The research result shows that acquiring company has the short-term wealth effect due to the degree of different investors＇ limited attention before or after the announcement. The More closeto announcement day,the more significant the short-term wealth effect. At the same time,the investors＇ own distraction degree is characteristic of weekly distribution,which will cause the weekly change in combiner＇s short-term wealth effect,the management of the listed companies will also choose the time to release the MA announcement accordingly,which will lead a more obviouswealth effect of weekly change.However,the limitation of investors＇ attention to the characteristics of the listed companies leads to market overreaction to MA announcement,which increases the short-term wealth effect. Therefore,the regulatory authority shall establish and improve the major information disclosure mechanism,strengthen the investors＇ education work and value-investment guidance. The listed companies shall establish some effective internal control system to enhance the information transparency,authenticity and timeliness.