金融控股公司購併時之市場反應與套利機會分析

Abstract

在民國90年6月27日我國「金融控股公司法」通過後，「金控公司」此一新金融型態被視為金融業版圖重新劃分的起步點。國內各大金融集團莫不希望藉由證券、銀行、保險等異業結合的方式達到擴大客源與範疇經濟之效果，進而提昇公司價值與股東財富。然而金控成立的過程中，合作對象的選擇與換股比例的制訂往往不只在各金融機構的股東會上成為爭議焦點，也明顯反應在各公司的股價上。在這股金控籌設的熱潮中，投資人應如何因應該資訊所帶來的效應，設計投資策略賺取較高報酬成為一重要的課題。本研究以事件研究法，探討各金控集團公司股票在納入金控宣告日與在換股比例宣告日是否發生顯著異常報酬，並依以進行套利機會之分析。研究結果發現，整體而言，在首次成立金控時，該二事件將為金控集團所有公司帶來顯著正向異常報酬，其中金控集團子公司之股價表現更顯優異。而在金控成立後之購併事件中，該二事件仍為集團子公司之股價帶來正面效應，但金控主體公司則因財富移轉效果而使股價下跌。本文之研究結果，可提供投資人在金控成立過程中各重要日期之區間，進行投資策略之參考。

One-stop shopping for the customers becomes the trend for financial institutions in recent years. The passage of Financial Act on June 27, 2001 in Taiwan provides good opportunities for the financial institutions future to transit into financial holding companies and provide unit financial services. In this way, the local financial institutions will be possible to compete with foreign financial companies. Most financial groups in Taiwan view Financial Holding Company act as a new epoch in financial industry. They wish to get the possible benefits such as synergy in cost and revenue, product diversity and conglomeration effect by consolidating commercial banks, investment banks, securities and insurers into financial holding companies. During the process of merging, how to choose the target and set the suitable stock exchange ratio up become the most important events to the stockholders. The event study is applied to measure the stock reaction of these events and to analyze the arbitrage opportunities that investors can apply to make profit in this thesis. It is indicated that all companies with merging before FHC listing had significant positive abnormal return. The subsidiaries even had more significant effects. On the other hand, the subsidiaries with merging after FHC listing still had significant abnormal return, but the FHC had negative abnormal return due to the wealth transfer effect. The aforementioned results could be applied to find possible arbitrage strategies for the investors.