主併公司價值、系統風險與經營績效關係之研究－ 以美國企業併購為例

Abstract

隨著慢慢解除市場限制之趨勢，併購的方法，也就是創造一加ㄧ大於二的綜效，是大企業強大自己的經濟規模以及進入不同市場的一個熱門方式。然而，大企業在併購熱潮下，估計風險也是非常重要且需要考量的一個主要關鍵。回顧之前學者研究，主要著重在如何透過併購為股東極大化權益，沒有一併結合考慮併購事件的系統風險問題。因此，本論文選取在1992年至2000年美國第五次併購熱潮中，並針對併購金額超過兩千五百萬美元之美國三大交易所上市主併企業為樣本，探討其企業價值、系統風險與併購後綜效之關係。

為了強調嚴謹性與完整性，研究步驟首先採用CUSUM Test 檢定美國三大交易所的系統風險是否處於穩定階段；再者，將併購日期分為宣告併購和實際併購，使用卡門轉換模型（Kalman Filter Model）估計1992到2003年主併公司隨時間變動的系統風險，探討是否併購前後的系統風險有明顯地降低；最後，將綜效分為營運綜效、財務綜效和市場綜效，建構廻歸式並使用Panel Data approach，探討在1992年至2000年美國第五次併購熱潮中，主併公司實際併購後，主併公司價值、其系統風險與三種綜效的關係與影響；更進一步，將併購事件分為國際與國內併購，以及善意與敵意併購深入分析。

研究發現，在1992到2003年樣本期間中，美國的三大交易所股票市場為不穩定，也就是說，系統風險是隨著時間改變的，而非穩定之一個固定數值。在系統風險方面，美國併購市場會因主併公司之併購宣告與實際併購產生兩個市場認知；然而，併購宣告或是實際併購後之主併公司之系統風險平均而言會較低；但是兩個事件分類都不顯著。最後，在1992年至2000年美國第五次併購熱潮中，主併公司併購後三年確實會有財務綜效、營運綜效以及市場綜效的產生，進而提升主併公司的企業價值。國際併購與敵意併購的併購後三年之系統風險會因為併購後下降，提高公司價值，然而國內併購與友善併購在併購後三年之公司價值提高，但系統風險沒有達到下降；在綜效方面，國內、國際和善意併購皆有達到財務、營運以及市場綜效，敵意併購沒有達到財務綜效的結果。

With the trend of deregulation of market expansion, M&A (Merger and Acquisition) plays a very important role for MNEs (Multinational Enterprises) to expand markets or increase their market scales. However, estimating the systematic risk also should be taken into account. According to the previous literatures, scholars have paid much attention on how to maximize the shareholder’s benefits through M&A investment. Rather, they have not combined the systematic risk issue with the shareholder’s return. Therefore, this study integrates the post-merged synergy with the time-varying systematic risk. The merging firms whose deal values are over 25,000,000 dollars under the American fifth merging wave, 1992 to 2000, are selected into samples of this thesis. Mainly, this study emphasizes on investigating the relationship between the merging firms’ values, systematic and synergies.

In order for robustness and completeness, the research steps are divided into three parts. First of all, use CUSUM Test to test if the American three biggest exchange markets are stable. Secondly, separate the merge date into announce merge date and real merge date and adopt the Kalman Filter Model to estimate the Time-varying beta of merging firms during the sample period, from 1992 to 2003. Furthermore, excavate if there is the difference between the pre-merge and post-merge. Finally, classify the general synergy into operating synergy, financial synergy and market synergy, build the regression and use Panal Data Approach to investigate the relationship and effects between the merging firm value, its time-varying systematic risk and three kinds of synergies. Moreover, analyze more deeply by classifying samples into international or domestic merging events, and into friendly or hostile merging events.

During the sample period, there are three main findings of this study. Firstly, American three biggest stock exchange markets are not stable. That is, the systematic risk is dynamic and time-varying, rather than the constant value. Secondly, there will be brought into two different market perceptions because of the merging announcement or real mergers, and however, average systematic risk values of merging firms are lower after merging than before merging. Lastly, post-merging firms will create financial synergy, operating synergy and market synergy which increase firm values in three years during the fifth merger wave. Systematic risks of international and hostile merging firms will decrease due to the merger investment and increase the firm value. Inversely, systematic risks of domestic and friendly merging firms will not decrease, but merger investment increases the firm value. As for the synergy aspect, the domestic, international and friendly merging firms reach the financial, operating and market synergies, but the hostile merging firms do not reach the financial synergy.