上市公司兼并收購可預測性研究
1萬字 11頁



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、模型估計及結果分析
1、參數估計
2．結果分析
四、模型預測能力檢驗
1．概率閾值(Cutoff)的確定
2．預測檢驗
(1) 檢驗樣本
(2) 檢驗過程
參考文獻




論文摘要

公司并購預測與財務危機、盈利能力和股票價格等預測一樣，是金融經濟學理論與實務界一直關注和爭論的問題。能否預測上市公司并購的發(fā)生，意味著能否依據公開信息戰(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測結果。本文的結論支持股票市場半強式有效假說。

關鍵詞：上市公司，兼并收購，預測





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




參考文獻
[5] Lo, A. And MacKinlay ,A.C., 1997, "Maximizing predictability in the stock and bond markets," Macroeconomic Dynamics 1
[6] Palepu , K.G., 1986, " Predicting takeover targets: A methodological and empirical analysis," Journal of Accounting
and Economics 8