在過去10年所進行的許多購併案件中，主併公司是否真能因購併活動而對其股東財富產生正面效益，此乃值得探討之問題。當企業從事購併消息揭露時，訊息的傳遞及對股東報酬的影響為本研究所要討論的重點。本研究以上市公司於1989年至2000年宣佈購併事件共146個樣本，採用事件研究法進行實證分析。由於傳統市場模式並未考量殘差項異質變異之情形，故本研究改採一般化自身迴歸異質變異數法(GARCH)估計市場模式。實證結果顯示： 1.國內上市公司購併宣告當天對主併公司股東報酬率有顯著的正向 效果。2.高科技產業購併宣告對股東報酬率有正向效果。3.相關性購併宣告對股東報酬率具有正面宣告效果。4.在國外購併宣告日當天對股東報酬率有著正向的報酬率。5.迴歸結果可發現購併地區、產業的相關性、過去績效表現等變數 對主併公司累積異常報酬率有顯著解釋能力。 The merger and acquisition (M&A) behaviors in Taiwan have grown rapidly for last ten years. By means of M&A activities, the enterprises of Taiwan are able to acquire more technology, know-how, capital, and resources of customers. Obviously, it is the shortcut for the enterprises of Taiwan to improve their competition. For M&A cases happened in the last ten years, whether the M&A activities increase the stockholder’s wealth of merging companies is worthy to discuss. When the information of M&A activities is revealed, how do the stock prices change as time goes by? And will the declaration effect influence the stock prices in the short run? This research collects 146 samples of the M&A events declared from 1989 to 2000 and uses the event study method to analyze empirically. Since traditional market model does not take the residual variances into consideration, this research adopts GARCH model to estimate the results. The empirical results are as follows: 1. The M&A activities of the public-listed companies in Taiwan positively affect the stock rate of return on the declaration day. 2. The declaration of M&A activities positively influences the return of the stock prices of the Hi-tech industry. 3. The declaration of relevant M&A activities affects the stock prices positively.4. The declaration of the foreign countries M&A activities in influences the stock prices in a positive way. 5. Variables including M&A area, the relationship of industry, the firm’s past performance, etc, have significant explanatory power for the accumulated abnormal rate of return.
