投资者如何将多重信息转化为确定的判断?——代表性信号与并购市场反应构型研究

How Investor Interpret Equivocal Signals to Certainty Judgment? Research on Typical Signals and Acquisition Market Respond Configuration

有效市场假说假定投资者能够解开并购事件信息和结果的关系做出积极或消极的市场反应,然而他们如何解开并购宣告的多重信息与预期结果之间的关系仍然是未知的。本文基于启发式决策理论中代表性启发的理论演绎,使用并购绩效的动机-能力-机会模型构建启发式决策框架,结合模糊集定性比较方法FSQCA研究了投资者解读企业并购宣告的多重信息并做出反应的判断机制。研究结果表明,投资者从动机-能力-机会框架中代表性信号组合形成的整体构型出发,判断当前并购属于好的并购还是糟糕的并购。有三种整体构型引致投资者做出了当前并购属于“好的”判断,四种整体构型引致投资者做出了当前并购是“糟糕的”判断。并且,同一判断结果的信号组合构型可以明显不同,“好的”并购构型反面组合并不就是“糟糕”并购构型。本文补充了投资者解读并购宣告的多重信息并做出市场反应之间存在的一种启发式判断机制,为并购市场反应偏离理性预期偏差的解释提供了被忽略的答案。

Efficient market theory assumes that investors can unpacking relationship between conditional and effect of M&A announcement events,and make positive or negative market reactions to them.For instance,investors will react positively or negatively to acquisition information such as payment method,premium,and experience.Based on rational expectations,these researches assume investors can make judgment for expected results of given information. However,given the M&A announcement in capital market,investors often faced multiple information,the relationship between information and the results are not obvious,research find little support for single information lead to significant positive or negative respond.We still unknown how they unpacking these relationship between multiple information and expect result.The rational judgment as the most important mechanism here in research still not clear. In this paper,we discussed this judgment mechanism when investors facing multiple M&A announcement information,how they interpret these information and make response to them.In our theoretical analysis,according to representative heuristic deduction in behavioral decision theory,we showed when people facing large amount of information and need to determine to what extent the given event result will be a good result or a bad one,they tend to combine the representative information as a whole model,and judge whether a given event looks like a good result or a bad one,these judge base on the similarity of the whole model they combined and the expected result. We used FSQCA s fuzzy set qualitative comparison method and building the motivation - capability - opportunity framework as the heuristic decision frame.Through FSQCA s fuzzy set analysis method,investors integrate information into types and judge whether it looks like the expected result or not was supported. Our results show that investor s judge whether the current M&A is a good deal or a bad one based on the overall configuration consisted by representative signals.They seek representative signal,and combination them as the configuration from various independent information to make judgment as a whole.Under bounded rationality,the judgment mechanism formed by heuristic decision making does not depend on the causal relationship between single information and acquisition performance,but on the types of configuration integrated together.Through the representative signals and the overall configuration after combination,investors simplify the judgment process when facing complex information and fuzzy causal relationship in acquisition announcements,and complete the evaluation to what extent the given acquisition events is a “good deal” or a bad one Among the typical signals in the motivation-competence-opportunity framework,three configurations led investors to make “good” judgments about the current M&A,investors can respond positively to the market when facing multiple information of merger and acquisition announcement at the same time:expert-type cautious expansion,expert-type confidence risk conversion,expert-type familiar expansion.And four configurations led investors to make “bad” judgments:novice risky deal,novice risky merger of equals,hubristic professional merger of equals,and hubristic expert cash merger of equals.Furthermore,the same judgment result configuration can be significantly different,and the opposite of good deals conditions were not completely bad deals.We supplements a heuristic judgment mechanism between multiple M&A information announcement and investors reactions,give an additional expression for M&A market returns bias from efficient market. The findings of this paper suggest the following measure for corporate acquisitions.First,management needs to pay attention to the of information combination meaning in acquisition announcement,rather than the meaning of single information.Second,corporate management must avoid combinations of signals in acquisition announcements that lead to poor judgment,such as the result in our result.Third,corporate management should fully convey the signal of the guarantee of M&A capability in the acquisition announcement.And lastly,the companies should try their best to convey the signal that the integration cost in acquisition was minimized.