上市公司兼并收購(gòu)可預(yù)測(cè)性探究.doc
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上市公司兼并收購(gòu)可預(yù)測(cè)性探究,本文共13頁(yè)7053字博士生論文論文摘要公司并購(gòu)預(yù)測(cè)與財(cái)務(wù)危機(jī)、盈利能力和股票價(jià)格等預(yù)測(cè)一樣，是金融經(jīng)濟(jì)學(xué)理論與實(shí)務(wù)界一直關(guān)注和爭(zhēng)論的問(wèn)題。能否預(yù)測(cè)上市公司并購(gòu)的發(fā)生，意味著能否依據(jù)公開(kāi)信息戰(zhàn)勝市場(chǎng)從而獲取超額收益。本文采用logit條件概率模型對(duì)我國(guó)a股市場(chǎng)1998年至1999年間發(fā)生的上...
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上市公司兼并收購(gòu)可預(yù)測(cè)性探究
本文共13頁(yè) 7053字 博士生論文
論文摘要
公司并購(gòu)預(yù)測(cè)與財(cái)務(wù)危機(jī)、盈利能力和股票價(jià)格等預(yù)測(cè)一樣，是金融經(jīng)濟(jì)學(xué)理論與實(shí)務(wù)界一直關(guān)注和爭(zhēng)論的問(wèn)題。能否預(yù)測(cè)上市公司并購(gòu)的發(fā)生，意味著能否依據(jù)公開(kāi)信息戰(zhàn)勝市場(chǎng)從而獲取超額收益。本文采用Logit條件概率模型對(duì)我國(guó)A股市場(chǎng)1998年至1999年間發(fā)生的上市公司兼并收購(gòu)進(jìn)行了實(shí)證分析和檢驗(yàn)。所得到的估計(jì)模型對(duì)并購(gòu)的發(fā)生有較強(qiáng)的解釋能力，但無(wú)法取得滿意的預(yù)測(cè)結(jié)果。本文的結(jié)論支持股票市場(chǎng)半強(qiáng)式有效假說(shuō)。
關(guān)鍵詞：上市公司，兼并收購(gòu)，預(yù)測(cè)
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(wèn)題提出
二、 模型估計(jì)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(jì)及結(jié)果分析
1、參數(shù)估計(jì)
2．結(jié)果分析
四、 模型預(yù)測(cè)能力檢驗(yàn)
1． 概率閾值(Cutoff)的確定
2．預(yù)測(cè)檢驗(yàn)
(1) 檢驗(yàn)樣本
(2) 檢驗(yàn)過(guò)程
參考文獻(xiàn)
[1] Crawford, Deanj and Thomas A.Lechner, 1996, " Takeover premiums and anticipated merger gains in theU.S.market for corporate control ," Journal of Business Finance and Accounting, July V23 N.5-6
[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
本文共13頁(yè) 7053字 博士生論文
論文摘要
公司并購(gòu)預(yù)測(cè)與財(cái)務(wù)危機(jī)、盈利能力和股票價(jià)格等預(yù)測(cè)一樣，是金融經(jīng)濟(jì)學(xué)理論與實(shí)務(wù)界一直關(guān)注和爭(zhēng)論的問(wèn)題。能否預(yù)測(cè)上市公司并購(gòu)的發(fā)生，意味著能否依據(jù)公開(kāi)信息戰(zhàn)勝市場(chǎng)從而獲取超額收益。本文采用Logit條件概率模型對(duì)我國(guó)A股市場(chǎng)1998年至1999年間發(fā)生的上市公司兼并收購(gòu)進(jìn)行了實(shí)證分析和檢驗(yàn)。所得到的估計(jì)模型對(duì)并購(gòu)的發(fā)生有較強(qiáng)的解釋能力，但無(wú)法取得滿意的預(yù)測(cè)結(jié)果。本文的結(jié)論支持股票市場(chǎng)半強(qiáng)式有效假說(shuō)。
關(guān)鍵詞：上市公司，兼并收購(gòu)，預(yù)測(cè)
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(wèn)題提出
二、 模型估計(jì)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(jì)及結(jié)果分析
1、參數(shù)估計(jì)
2．結(jié)果分析
四、 模型預(yù)測(cè)能力檢驗(yàn)
1． 概率閾值(Cutoff)的確定
2．預(yù)測(cè)檢驗(yàn)
(1) 檢驗(yàn)樣本
(2) 檢驗(yàn)過(guò)程
參考文獻(xiàn)
[1] Crawford, Deanj and Thomas A.Lechner, 1996, " Takeover premiums and anticipated merger gains in theU.S.market for corporate control ," Journal of Business Finance and Accounting, July V23 N.5-6
[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
