本研究藉由股票及選擇權買權市場衡量併購活動是否能創造綜效、主併公司併購溢價是否高於綜效、觀察市場股價是否有錯誤估值產生及選擇權市場是否能預估併購活動順利完成。實證結果指出平均而言併購活動能獲得正的綜效收益，併購案使得主併與被併公司均能增加收益。主併公司時常以溢價方式併購被併公司，但主併公司付出之溢價最終透過併購仍能獲得利益，即淨現值大於0。主併公司對於併購消息面為負向，原因為併購宣告日前主併公司股價有高估現象，而股票併購錯誤估值較現金併購大，透過中位數檢定股票併購之負面消息相較現金併購更為負面；被併公司則因併購溢價而被視為好消息。本研究經由選擇權價格估算出來之併購成功機率與實際成功併購呈正相關，而併購如果為非合意，則併購成功機率下降。

This study uses the stock and call option market to analyze whether (1) M&A activities generate synergies, (2) bidder’s takeover premium is higher than synergy, (3) the misvaluation exists, and (4) the market correctly predicts M&A activities. The empirical results show that, on average, M&A activities generate positive synergy, and both bidders and targets gain from takeovers. This implies that bidders’ NPV from takeovers is positive. In general, bidder news is negative because bidder’s stock price is overvalued before announcement day. Stock offer’s misvaluation is larger than that of cash offer. The median-value test implies that the news about bidder in stock offer is more negative than that in cash offer. Target news is positive possibly due to a positive takeover premium. The probability of successful M&A activities estimated by option prices is positively correlated with the actual probability of M&A completion. In addition, if a takeover is classified as hostile, the probability of M&A completion is significantly lower.

論文審定書 i
摘要 ii
Abstract iii
圖次 v
表次 vi
1.緒論 1
1.1研究動機與研究目的 1
1.2研究架構 3
2.文獻回顧 3
2.1併購使企業價值改變 3
2.2股票市場衡量併購活動異常報酬 4
2.3選擇權市場更能有效衡量併購活動中異常報酬及綜效 5
2.4錯誤估值影響併購活動 6
3.研究方法 6
3.1利用股票市場預估 7
3.2結合選擇權市場預估 8
4.資料樣本與研究假說 11
4.1資料來源及樣本挑選 11
4.2研究假說 12
5.實證分析 15
5.1估計結果概要 15
5.2併購價格百分比變化 16
5.3併購價值變化 25
5.4利用選擇權市場預估併購機率結果 31
5.5利用選擇權市場預估併購機率穩健性測試 31
6.結論與建議 36
參考文獻 38

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