本研究目的在於探討購併型態與評價模式對長期股票異常報酬的影響。本研究以1993年至2006年之國內上市公司購併宣告事件為研究樣本。以投入輸出法作為劃分購併事件型態的標準，劃分四種購併型態：(1)純水平式購併、(2)純垂式購併、(3) 混合垂直式與水平式購併、(4)集團式購併。採用一因子市場評價模式，Fama and French (1993)三因子與兩個四因子評價模式包括Carhart(1997)動能四因子暨Lai,et al.(2010)財務風險四因子，計算長期股票異常報酬。研究結果發現如下：
以全體樣本觀察其第1年到第5年的累積股票異常報酬率，購併後的表現到第5年才有正數產生。觀察全體樣本購併後5年之長期累積股票異常報酬率，一因子模式是不顯著的負數，其他三種多因子模式卻是顯著的負數。
在四種評價模式中，對主併公司的長期累積股票異常報酬而言，四種購併型態中，集團式的購併型態最好，純水平式購併型態最差，混合垂直式與水平式購併型態為次之，純垂直式購併型態排列第三。
對四種評價模式所有長期累積股票異常報酬進行迴歸，發現採用一因子評價模式分析，由於考量因子簡單，因而低估了股票預期報酬，卻高估了長期累積股票異常報酬。而採用其他三種多因子評價模式，由於考量因子較多，故股票預期報酬會較高，致使長期累積股票異常報酬會較低。本研究支持Fama and French (1993)的論點，對股票報酬的評價不只使用市場因子，尚需考慮到公司規模、淨值市價比兩個因子，進而Carhart (1997) 與Lai,et al. (2010)也分別發現動能因子與財務風險因子也會影響股票期望報酬，進行評價時亦應列入考慮。

This research aims to investigate the impact of the merger patterns and the pricing models on the long-term stock abnormal returns. The samples come from Market Observation Post System of Taiwan Stock Exchange and domestic listed firms which have merger announcement during 1993 to 2006. According to the Input-Output based method, this research categorizes merger events into four merger patterns: (1) pure horizontal mergers, (2) pure vertical merger, (3) mixed vertical and horizontal merger, (4) conglomerate merger. And this study uses four pricing models including the CAPM one-factor model, Fama and French (1993) three-factor model, Carhart (1997) four-factor model and Lai,et al. (2010) financial distress four-factor model to measure long-term stock abnormal returns. The findings are as follows:
First, the stock abnormal returns of full sample are positive in the fifth year. The long-term cumulative abnormal returns of full sample are insignificantly negative when one-factor model is used and significantly negative when three-factor and two four-factor models are used. Second, based on the four pricing models to analyze long-term cumulative abnormal returns, this study finds that the conglomerate merger is the best, followed by the pure vertical merger and mixed vertical and horizontal merger, and the pure horizontal merger is the worst. Third, based on the regression on all of the long-term cumulative abnormal returns of the four pricing models, we find that the one-factor model concerning only one market factor underestimates the expected return on stocks, and thus might overestimates the long-term cumulative abnormal returns. On the contrary, the other three multi-factor models concerning three or four factors can estimate the expected return on stocks more objectively, resulting in lower long-term cumulative abnormal returns. This research supports the contention of Fama and French (1993) that to evaluate expected stock return, we concern not only the market factor but also the size and the B/E ratio. Carhart (1997) and Lai, et al. (2010) also find momentum factor or financial distress factor can affect expected stock returns. Therefore, this study uses different four pricing models including one-factor, three-factor and two four-factor models to do the research.

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