市场对要约收购的反应:来自中国的证据

doi:10.52396/JUST-2021-0172

中国科学技术大学学报 ›› 2021, Vol. 51 ›› Issue (12): 894-911.DOI: 10.52396/JUST-2021-0172

市场对要约收购的反应:来自中国的证据

王雨辰¹, 钱元辰^2*

1.中国科学技术大学管理学院国际金融研究院,安徽合肥 230601;
2.中国科学技术大学管理学院,安徽合肥 230026

收稿日期:2021-07-30 修回日期:2021-09-03 出版日期:2021-12-31 发布日期:2022-01-11
通讯作者: *E-mail:qyc1996@mail.ustc.edu.cn

Market reaction to tender offers: Insights from China

WANG Yuchen¹, QIAN Yuanchen^2*

1. International Institute of Finance, School of Management, University of Science and Technology of China, Hefei 230601, China;
2. Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei 230026, China

Received:2021-07-30 Revised:2021-09-03 Online:2021-12-31 Published:2022-01-11
Contact: *E-mail: qyc1996@mail.ustc.edu.cn

摘要/Abstract

摘要： 研究了我国A股上市公司的要约收购问题.应用非参数方法和分段线性回归模型表明要约收购的定价具有锚定效应,发现历史收益正影响收购后的溢价.此外,使用logistic回归模型发现,历史收益显著正影响收购的成功率.采用事件研究的方法,揭示了异常收益和异常交易量在公告日达到峰值,并且发现在要约收购中存在可能的信息交易者.

关键词: 锚定效应, 公告效应, 收购溢价, 公司金融, 中国市场, 要约收购

Abstract: This article studies the tender offers of Chinese A-share listed companies. We apply the nonparametric method and the piecewise-linear regression model to indicate that the pricing of offers has an anchoring effect. We find that the historical returns positively affect the post-offer price premium. Besides, We use the logistic regression model to find that historical returns significantly influence the success rate of the acquisition. We adopt the event study methods to show that the abnormal return and the abnormal trading volume reach their peaks on the announcement day, revealing the possible existence of informed traders in tender offers.

Key words: anchoring effect, announcement effect, acquisition premium, corporate finance, Chinese market, tender offer

中图分类号:

F832.5

王雨辰, 钱元辰. 市场对要约收购的反应:来自中国的证据[J]. 中国科学技术大学学报, 2021, 51(12): 894-911.

WANG Yuchen, QIAN Yuanchen. Market reaction to tender offers: Insights from China[J]. Journal of University of Science and Technology of China, 2021, 51(12): 894-911.

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市场对要约收购的反应:来自中国的证据

Market reaction to tender offers: Insights from China

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