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標題: 台灣上市公司危機與購併事件對同產業內其他公司股價之影響
Contagion and Competitive Effects of Distress and M&A Announcements in Taiwan
作者: 許睿芬
Hsu, Jui-Fen
關鍵字: Intra-industry effects;產業效果;Contagion effect;Competitive effect;Abnormal return;Cumulative abnormal return;蔓延效果;競爭效果;異常報酬;累積異常報酬
出版社: 財務金融系所
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This paper investigates the intra-industry effect of the distress and M&A announcements by target firm affect the stock price of the other firms in the same industry. We use event study methodology to calculate the abnormal returns and cumulative abnormal returns for the Taiwan public firms from 1996 to 2007. Previous studies decomposed the intra-industry effect into contagion and competitive effect. The contagion effect is that we show the stock price of industry rivals in the same direction to target firm, whereas the competitive effect is the stock price of industry rivals in the opposite direction to target firm. So the first we should examine the target firm's abnormal return. The results show the some target firms have significantly abnormal return. Then the traditional industry is more strong response than electronic industry and distress announcement is more obvious than M&A announcement.

Therefore we could examine the intra-industry effect of distress and M&A announcements by target firm affect the stock price of the other firms in the same industry. Our results show that some of all industries have obvious contagion and competitive effect and general exist that the industry firms have the contagion effect more than the competitive effect. The phenomenon of the traditional industries often express significantly for event day then after the event day the abnormal return will reverse. On the contrary the electronic industries represent to small abnormal returns.

In the summary, our results show the contagion effect phenomenon is general existence in Taiwan public industries. Then the traditional industry firms are more than electronic industry firms. It could express the traditional industries have high degree of concentration and high similarity of cash flows, whereas the electronic industries express the high degree of competition and high independence. Therefore the traditional industries are obvious contagion effect and the electronic industries express more competitive effect. However according to the different event announcements, different traditional or electronic industries and different products in the same electronic industry, they will express different intra-industry effect.




其他識別: U0005-3006200817422900
Appears in Collections:財務金融學系所

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