本研究檢視購併宣告是否具有異常報酬(Abnormal Returns)和累積異常報酬(Cumulative Abnormal Returns);另外，也將針對各種因素影響購併宣告累積異常報酬的情況列入討論，其中，首度加入討論「企業購併法」（M&A legislation）對購併宣告的股價影響。估計市場模式(market model)的選擇上，同時採用OLS和GARCH二種方法，以增加檢定結果的可信度。實證結果發現：(1)購併宣告的確會使主併公司的股東產生負向的異常報酬和負向累積異常報酬， (2)成長潛力是影響購併宣告累積異常報酬中最重要的要素，當主併公司成長潛力愈大時，購併宣告的累積異常報酬將愈大， (3)國際購併和短期償債能力與購併宣告的累積異常報酬間呈現不顯著的正相關，而法條通過、董監事持股比率和公司規模與購併宣告的累積異常報酬呈現不顯著的負相關。 This study investigates the existence of the abnormal returns and the cumulative abnormal returns from merger-and-acquisition (M&A) announcements. The influence of the M&A legislation enacted in 2002 was considered. The market model for event study was estimated using both ordinary least square (OLS) and general autoregressive conditional heteroskedasticity (GARCH) methods to increase the robustness. It is concluded that: (1)negative abnormal returns and accumulative abnormal returns do exist and are significant, (2)among all the factors examined, the potential of growth is the key element that has significant and positive impacts on the cumulative abnormal returns, (3)M&A across boarder and the ability for short-term debt-repaying are positively, but insignificantly, correlated with the cumulative abnormal returns; M&A legislation, ratios of insiders’ ownership, and the scale of the companies are negative, but also insignificantly, correlated with the cumulative abnormal returns.
