簡易檢索 / 詳目顯示

回結果列表
研究生： 周旻柔
Chou, Min-Jou
論文名稱： 景氣循環對於高現金持有公司併購行為的影響
The impact of business cycle on mergers and acquisitions in cash-rich firms
指導教授： 陳嬿如
Chen, Yenn-Ru
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2010
畢業學年度： 98
語文別： 英文
論文頁數： 51
中文關鍵詞： 現金持有 、併購 、景氣循環 、代理問題 、自由現金流量
外文關鍵詞： Cash holdings, M&A, Business cycle, Agency problem, Free cash flow
相關次數： 點閱：106  下載：8 
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報

    • 本研究之主要目的在於探討高現金持有公司的併購績效是否受到景氣循環的影響。儘管文獻大多指出高現金持有公司會因為自由現金流量的代理問題，比較容易從事降低價值的併購行為。然而，自由現金流量發生於當公司擁有大量的現金卻沒有適當的投資機會時，而這兩因素同時會受到景氣循環的影響。所以，我們認為高現金持有公司不會一直從事不利的併購，而是在自由現金流量比較高的景氣循環階段才會去做降低價值的併購。本研究發現，高現金持有公司比較容易在景氣衰退期從事不利的併購行為，而且在此期間的併購績效明顯地劣於低現金持有公司。然而在景氣擴張時，我們並沒有觀察到此現象。最後我們亦檢視是否可由在不同景氣循環階段的投資機會多寡與資金的流動程度來解釋此現象，我們發現公司減少的投資機會與持有的高額現金都將會導致高現金持有公司在景氣衰退階段從事降低價值的併購。

    The literature supports Jensen’s free cash flow hypothesis by finding that cash-rich firms tend to undertake value-decreasing mergers and acquisitions. This study examines whether such evidence of the agency problem of free cash flows is subject to business cycle; i.e., whether the post-merger performance of cash-rich firms varies across business cycle. In the sample of the U.S. firms from 1981 to 2007, we find that cash-rich firms undertake value-decreasing bids and underperform cash-poor firms in mergers and acquisitions during recessions but not during expansions. In addition, we use investment opportunity and capital liquidity which influence the level of free cash flow to explain the operating performance change after mergers. We assume that these two factors are different during recessions and expansions, and that they make cash-rich firms have distinct post-merger performance. We find that the value-decreasing mergers during recessions can be explained by fewer investment opportunities and higher cash holdings compared to cash-poor firms the rivals of cash-rich firms.

    CONTENTS 摘要 I ABSTRACT II 誌謝 III Chapter 1 Introduction 1 1.1 Research Background and Motivation 1 1.2 Objectives and Major Findings 2 1.3 Importance of the Study 3 Chapter 2 Literature Review and Development of Hypotheses 5 2.1 Investment Opportunity Set 6 2.2 Capital Liquidity 8 Chapter 3 Methodology and Data 11 3.1 Methodology 11 3.2 Data and Samples 17 Chapter 4 Empirical Results 19 4.1 Performance change 19 4.2 Investment opportunity set 21 4.3 Capital liquidity 22 4.4 Other independent variables 23 Chapter 5 Conclusions 25 REFRENCE 26 TABLES 31 TABLE CONTENTS Table 1 Variable Definition 31 Table 2 Comparison of NBER and CFNAI Classification for Business Cycle 33 Table 3 Sampling Frame 34 Table 4 Summary Statistics 35 Table 5 Common Factor Analysis of Investment Opportunity Set 36 Table 6 Adjusted Operating Performance Regressions of Merged Firms (NBER) 37 Table 7 Adjusted Operating Performance Regressions of Merged Firms (CFNAI) 38 Table 8 Difference Significance of Performance Change (NBER) 39 Table 9 Difference Significance of Performance Change (CFNAI) 39 Table 10 The OLS Regressions for Performance Change of All Firms (NBER) 40 Table 11 The OLS Regressions for Performance Change of All Firms (CFNAI) 42 Table 12 The OLS Regressions for Performance Change of All Firms (NBER) with Payment Data 44 Table 13 The OLS Regressions for Performance Change of All Firms (CFNAI) with Payment Data 46 Table 14 The OLS Regressions for Performance Change of All Firms (NBER) 48 Table 15 The OLS Regressions for Performance Change of All Firms (CFNAI) 50

    REFRENCE
    Almeida, H., M. Campello, and M. S. Weisbach, 2002. The Demand for Corporate Liquidity: A Theory and Some Evidence, Working Paper Univ. of Illinois and New York Univ.
    Amihud, Y., 2002. Illiquidity and Stock Returns: Cross-Section and Time-Series Effects, Journal of Financial Markets 5, 31–56.
    Amihud, Y., and H. Mendelson, 1986. Asset Pricing and the Bid-ask Spread, Journal of Financial Economics 17, 223-249.
    Ang, J. S., and Y. Cheng, 2006. Direct Evidence on the Market-driven Acquisition Theory, Journal of Financial Research 29, 199-216.
    Baber, W. R., S. N. Janakiraman, and S.-H. Kang, 1996. Investment Opportunities and the Structure of Executive Compensation, Journal of Accounting and Economics 21, 297-318.
    Backus, D. K., and P. J. Kehoe, 1992. International Evidence on the Historical Properties of Business Cycles, The American Economic Review 82, 864-888.
    Basistha, A., and A. Kurov, 2008. Macroeconomic Cycles and the Stock Market's Reaction to Monetary Policy, Journal of Banking & Finance 32, 2606-2616.
    Becketti, S., 1986. Corporate Mergers and the Business Cycle, Economic Review., 13-26.
    Bouwman, C. H. S., K. Fuller, and A. S. Nain, 2009. Market Valuation and Acquisition Quality: Empirical Evidence, The Review of Financial Studies 22, 633-679.
    Brennan, M. J., and A. Subrahmanyam, 1996. Market Microstructure and Asset Pricing: On the Compensation for Llliquidity in Stock Returns, Journal of Financial Economics 41, 441-464.
    Brown, D. T., C. M. James, and R. M. Mooradian, 1994. Asset Sales by Financially Distressed Firms, Journal of Corporate Finance 1, 233-257.
    Burns, A. F., and W. C. Mitchell, 1946. Measuring Business Cycles, New York: Columbia Univ. Press (for Nat. Bur. Econ. Res.).
    Chalmers, J. M. R., and G. B. Kadlec, 1998. An Empirical Examination of the Amortized Spread, Journal of Financial Economics 48, 159-188.
    Choe, H., R. W. Masulis, and V. Nanda, 1993. Common Stock Offerings across the Business Cycle: Theory and Evidence, Journal of Empirical Finance 1, 3-31.
    Dechow, P. M., 1994. Accounting Earnings and Cash Flows as Measures of Firm Performance : The Role of Accounting Accruals, Journal of Accounting and Economics 18, 3-42.
    Denis, D. J., and V. T. Mihov, 2003. The Choice among Bank Debt, Non-bank Private Debt, and Public Debt: evidence from new corporate borrowings, Journal of Financial Economics 70, 3-28.
    Diamond, D. W., 1991. Monitoring and Reputation: The Choice between Bank Loans and Directly Place Debt, Journal of Political Economy 99, 689-721.
    Eleswarapu, V. R., 1997. Cost of Transacting and Expected Returns in the Nasdaq Market, The Journal of Finance 52, 2113-2127.
    Fazzari, S. M., R. G. Hubbard, B. C. Petersen, A. S. Blinder, and J. M. Poterba, 1988. Financing Constraints and Corporate Investment, Brookings Papers on Economic Activity 1988, 141-206.
    Fishman, M. J., 1989. Preemptive Bidding and the Role of the Medium of Exchange in Acquisitions, The Journal of Finance 44, 41-57.
    Gaver, J. J., and K. M. Gaver, 1993. Additional Evidence on the Association between the Investment Opportunity Set and Corporate Financing, Dividend, and Compensation Policies, Journal of Accounting and Economics 16, 125-160.
    Gilchrist, S., and C. P. Himmelberg, 1995. Evidence on the Role of Cash Flow for Investment, Journal of Monetary Economics 36, 541-572.
    Goel, A. M., and A. V. Thakor, 2010. Do Envious CEOs Cause Merger Waves?, The Review of Financial Studies 23, 487-517.
    Guay, W. R., 1999. The Sensitivity of CEO Wealth to Equity Risk: An Analysis of the Magnitude and Determinants, Journal of Financial Economics 53, 43-71.
    Hansen, R. G., 1987. A Theory for the Choice of Exchange Medium in Mergers and Acquisitions, The Journal of Business 60, 75-95.
    Harford, J., 1999. Corporate Cash Reserves and Acquisitions, The Journal of Finance 54, 1969-1997.
    Harford, J., 2005. What Drives Merger Waves?, Journal of Financial Economics 77, 529-560.
    Harford, J., W. H. Mikkelson, and M. M. Partch, 2003. The Effect of Cash Reserves on Corporate Investment and Performance in Industry Downturns, Unpublished working paper, University of Washington.
    Healy, P. M., K. G. Palepu, and R. S. Ruback, 1992. Does Corporate Performance Improve after Mergers?, Journal of Financial Economics 31, 135-175.
    Hoshi, T., A. Kashyap, and D. Scharfstein, 1991. Corporate Structure, Liquidity, and Investment: Evidence from Japanese Industrial Groups, The Quarterly Journal of Economics 106, 33-60.
    Houston, J., and C. James, 1996. Bank Information Monopolies and the Mix of Private and Public Debt Claims, The Journal of Finance 51, 1863-1889.
    Jensen, M. C., 1986. Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers, The American Economic Review 76, 323-329.
    Jensen, M. C., and R. S. Ruback, 1983. The Market for Corporate Control : The Scientific Evidence, Journal of Financial Economics 11, 5-50.
    Komlenovic, S., A. Mamun, and D. Mishra, 2009. Business Cycle and Aggregate Industry Mergers Journal of Economics and Finance (Online).
    Lambrecht, B. M., 2004. The Timing and Terms of Mergers Motivated by Economies of Scale, Journal of Financial Economics 72, 41-62.
    Lang, L., A. Poulsen, and R. Stulz, 1995. Asset Sales, Firm Performance, and the Agency Costs of Managerial Discretion, Journal of Financial Economics 37, 3-37.
    Lang, L. H. P., R. Stulz, and R. A. Walkling, 1991. A Test of the Free Cash Flow Hypothesis: The case of bidder returns, Journal of Financial Economics 29, 315-335.
    Lesmond, D. A., J. P. Ogden, and C. A. Trzcinka, 1999. A New Estimate of Transaction Costs, The Review of Financial Studies 12, 1113-1141.
    Loughran, T., and M. V. Anand, 1997. Do Long-Term Shareholders Benefit From Corporate Acquisitions?, The Journal of Finance 52, 1765-1790.
    Machin, S., and J. V. Reenen, 1993. Profit Margins and the Business Cycle: Evidence from UK Manufacturing Firms, The Journal of Industrial Economics 41, 29-50.
    Maksimovic, V., and P. Gordon, 2001. The Market for Corporate Assets: Who Engages in Mergers and Asset Sales and Are There Efficiency Gains?, The Journal of Finance 56, 2019-2065.
    Martin, K. J., 1996. The Method of Payment in Corporate Acquisitions, Investment Opportunities, and Management Ownership, The Journal of Finance 51, 1227-1246.
    Melicher, R. W., J. Ledolter, and L. J. D'Antonio, 1983. A Time Series Analysis of Aggregate Merger Activity, The Review of Economics and Statistics 65, 423-430.
    Mitchell, M. L., and J. H. Mulherin, 1996. The Impact of Industry Shocks on Takeover and Restructuring Activity, Journal of Financial Economics 41, 193-229.
    Myers, S. C., and N. S. Majluf, 1984. Corporate Financing and Investment Decisions when Firms Have Information that Investors Do not Have, Journal of Financial Economics 13, 187-221.
    Nelson, R. L., 1959. Merger Movements in American Industry, 1895-1956, Princeton: Princeton University Press / NBER.
    Næs R., J. A. Skjeltorp, and B. Arne Ødegaard, 2010. Stock Market Liquidity and the Business Cycle, The Journal of Finance (Forthcoming).
    Officer, M. S., 2007. The price of corporate liquidity: Acquisition Discounts for Unlisted Targets, Journal of Financial Economics 83, 571-598.
    Oler, D. K., 2008. Does Acquirer Cash Level Predict Post-acquisition Returns?, Review of Accounting Studies 13, 479-511.
    Raghavendra Rau, P., and T. Vermaelen, 1998. Glamour, Value and the Post-acquisition Performance of Acquiring Firms, Journal of Financial Economics 49, 223-253.
    Rajgopal, S., and T. Shevlin, 2002. Empirical Evidence on the Relation between Stock Option Compensation and Risk Taking, Journal of Accounting and Economics 33, 145-171.
    Rau, P. R., and T. Vermaelen, 2002. Regulation, Taxes, and Share Repurchases in the United Kingdom, The Journal of Business 75, 245-282.
    Rhodes-Kropf, M., and S. Viswanathan, 2004. Market Valuation and Merger Waves, The Journal of Finance 59, 2685-2718.
    Richardson, S., 2006. Over-investment of Free Cash Flow, Review of Accounting Studies 11, 159-189.
    Roll, R., 1986. The Hubris Hypothesis of Corporate Takeovers, The Journal of Business 59, 197-216.
    Romer, C. D., 1999. Changes in Business Cycles: Evidence and Explanations, The Journal of Economic Perspectives 13, 23-44.
    Shleifer, A., and R. W. Vishny, 1992. Liquidation Values and Debt Capacity: A Market Equilibrium Approach, The Journal of Finance 47, 1343-1366.
    Shleifer, A., and R. W. Vishny, 2003. Stock Market Driven Acquisitions, Journal of Financial Economics 70, 295-311.
    Simutin, M., 2009. Excess Cash Holdings, Risk, and Stock Returns, Financial Management (Forthcoming).
    Sirower, M., 1997. The Synergy Trap Free Press: New York.
    Smith, R. L., and J.-H. Kim, 1994. The Combined Effects of Free Cash Flow and Financial Slack on Bidder and Target Stock Returns, The Journal of Business 67, 281-310.
    Stein, J. C., 1996. Rational Capital Budgeting In An Irrational World, The Journal of Business 69, 429-455.

    下載圖示 校內：2013-09-09公開
    校外：2020-01-01公開
    QR CODE