上市公司兼并收購可預(yù)測性探究

本文共13頁 7053字 博士生論文

論文摘要

公司并購預(yù)測與財務(wù)危機、盈利能力和股票價格等預(yù)測一樣，是金融經(jīng)濟(jì)學(xué)理論與實務(wù)界一直關(guān)注和爭論的問題。能否預(yù)測上市公司并購的發(fā)生，意味著能否依據(jù)公開信息戰(zhàn)勝市場從而獲取超額收益。本文采用Logit條件概率模型對我國A股市場1998年至1999年間發(fā)生的上市公司兼并收購進(jìn)行了實證分析和檢驗。所得到的估計模型對并購的發(fā)生有較強的解釋能力，但無法取得滿意的預(yù)測結(jié)果。本文的結(jié)論支持股票市場半強式有效假說。

關(guān)鍵詞：上市公司，兼并收購，預(yù)測

Abstract

Predicting takeover , like forecasting bankruptcy, profitability and stock price, is a hot issue full of deputes among financial economists and investors for long time. Whether takeover can be predicted, means whether excess profits can be gained according to public information. The paper studied the takeovers during 1998-1999 of Chinese A share listed company by means of Logit conditional probability model. The estimating model can strongly demonstrate the happening of the takeovers, yet satisfied prediction is not able to be achieved. The empirical results support the semi-strong efficient market hypothesis.

Key words：Listed Company, Takeover, Predictability

目錄
一、問題提出
二、 模型估計方法及樣本選擇
1．模型方法
2． 樣本選擇
變量選擇(
三、 模型估計及結(jié)果分析
1、參數(shù)估計
2．結(jié)果分析
四、 模型預(yù)測能力檢驗
1． 概率閾值(Cutoff)的確定
2．預(yù)測檢驗
(1) 檢驗樣本
(2) 檢驗過程

參考文獻(xiàn)
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[2] Fama,Eugene F., Kennenth R.French, 1999, " Forecasting Profitability and Earning " Working Paper
[3] Jensen, M. J. and R.S. Ruback, 1983,"The market for corporate control：The scientific evidence," Journal of Financial
Economics 11
[4] Dietrich, J. Kimball ,.and E. Sorensen, 1984," An application of logit analysis to prediction of merger targets," Journal of Business Research 12