併購消息對台灣半導體產業市場報酬之實證研究

Abstract

本研究以台灣半導體在產業併購消息傳遞過程中對股票報酬之影響為研究主軸，採用2004至2015年問台灣上市上櫃半導體產業購併消息為研究樣本，以事件研究法之市場模型探討購併宣告、併購消息傳遞對主併、被併目標公司股票異常報酬的影響。本研究並首度針對主併公司所屬國家會影響被併購目標之市場報酬做實證研究，其結果歸納如下: 一.台灣半導體主併公司併購宣告股票異常報酬之研究結果，主併公司在併購消息公布後具有正向但不顯著的異常報酬0.7265%。 二. 被併目標公司在併購消息宣告或是傳遞時，存在顯著正向異常報酬3.2701%。表示在半導體併購事件上，選擇投資被併購公司獲得超額報酬的機會大於主併公司。 三. 主併公司所屬註冊國家對於被併購目標公司在事件宣告日及往後2天的異常報酬率有顯著的影響。研究顯示主併公司來自美國的平均異常報酬為4.28322%，來自於台灣為1.55070%，而來自中國則為負0.13585% 四. 訊息不對稱，造成在事件曝光前，股票已先行反應，顯示併購消息存在容易提前洩漏的問題存在內線交易的問題與疑慮。 五. 併購消息曝光後股價2天即回到基本面，具半強式效率市場特質，顯示一般投資人難以在併購消息在媒體發佈後獲得超額報酬。

關鍵詞：半導體併購、事件日研究法、資訊不對稱、異常報酬

The objective of this study is to investigate the Merger and Acquisition (M&A) announcement effect on stock returns in Taiwan semiconductor industry. The samplings are the Taiwan listed semiconductor companies which had M & A news and announcement from 2004 to 2015. We apply market model to study the acquirer’s and acquired company’s abnormal returns considering the M&A events. This study is the pioneer to analyze the correlation between acquirer’s country and abnormal returns. Here we concludes as follows, (1) Taiwan semiconductor acquirer has positive but insignificant abnormal return (0.7265%) after M&A announcement disclosed. (2) The target (acquired) company has positively significant abnormal returns on stock price (3.2701%) after M&A news disclosure. It shows that the people tend to invest on acquired company rather than the acquirer upon M&A events in Taiwan semiconductor industry. (3) The acquirers’ country is also the factor of market return, and will leads to significantly abnormal return on the target (acquired) company’s stock price from the event window. We found that acquirers from USA bring more positive significant abnormal returns to acquired company’s stock price than those who from other countries. (USA: 4.28322%, Taiwan: 1.55070%, China: -0.13585%) (4) Asymmetric information caused the effect on stock price earlier than the M&A news being disclosed. It indicates that there might be insider trading and company secret divulged concern ahead of M&A official announcement. (5) Abnormal returns persist 2 days. The stock price turns back to normal level on the 3rd day . Taiwan stock market complies with the theory of semistrong-form efficiency market, the investors are hard to earn extra returns on M&A news.