上市公司兼并收购可预测性探究.doc
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上市公司兼并收购可预测性探究,本文共13页7053字博士生论文论文摘要公司并购预测与财务危机、盈利能力和股票价格等预测一样，是金融经济学理论与实务界一直关注和争论的问题。能否预测上市公司并购的发生，意味着能否依据公开信息战胜市场从而获取超额收益。本文采用logit条件概率模型对我国a股市场1998年至1999年间发生的上...
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上市公司兼并收购可预测性探究
本文共13页 7053字 博士生论文
论文摘要
公司并购预测与财务危机、盈利能力和股票价格等预测一样，是金融经济学理论与实务界一直关注和争论的问题。能否预测上市公司并购的发生，意味着能否依据公开信息战胜市场从而获取超额收益。本文采用Logit条件概率模型对我国A股市场1998年至1999年间发生的上市公司兼并收购进行了实证分析和检验。所得到的估计模型对并购的发生有较强的解释能力，但无法取得满意的预测结果。本文的结论支持股票市场半强式有效假说。
关键词：上市公司，兼并收购，预测
Abstract
Predicting takeover , like forecasting bankruptcy, profitability and stock price, is a hot issue full of deputes among financial economists and investors for long time. Whether takeover can be predicted, means whether excess profits can be gained according to public information. The paper studied the takeovers during 1998-1999 of Chinese A share listed company by means of Logit conditional probability model. The estimating model can strongly demonstrate the happening of the takeovers, yet satisfied prediction is not able to be achieved. The empirical results support the semi-strong efficient market hypothesis.
Key words：Listed Company, Takeover, Predictability
目录
一、问题提出
二、 模型估计方法及样本选择
1．模型方法
2． 样本选择
变量选择(
三、 模型估计及结果分析
1、参数估计
2．结果分析
四、 模型预测能力检验
1． 概率阈值(Cutoff)的确定
2．预测检验
(1) 检验样本
(2) 检验过程
参考文献
[1] Crawford, Deanj and Thomas A.Lechner, 1996, " Takeover premiums and anticipated merger gains in theU.S.market for corporate control ," Journal of Business Finance and Accounting, July V23 N.5-6
[2] Fama,Eugene F., Kennenth R.French, 1999, " Forecasting Profitability and Earning " Working Paper
[3] Jensen, M. J. and R.S. Ruback, 1983,"The market for corporate control：The scientific evidence," Journal of Financial
Economics 11
[4] Dietrich, J. Kimball ,.and E. Sorensen, 1984," An application of logit analysis to prediction of merger targets," Journal of Business Research 12
本文共13页 7053字 博士生论文
论文摘要
公司并购预测与财务危机、盈利能力和股票价格等预测一样，是金融经济学理论与实务界一直关注和争论的问题。能否预测上市公司并购的发生，意味着能否依据公开信息战胜市场从而获取超额收益。本文采用Logit条件概率模型对我国A股市场1998年至1999年间发生的上市公司兼并收购进行了实证分析和检验。所得到的估计模型对并购的发生有较强的解释能力，但无法取得满意的预测结果。本文的结论支持股票市场半强式有效假说。
关键词：上市公司，兼并收购，预测
Abstract
Predicting takeover , like forecasting bankruptcy, profitability and stock price, is a hot issue full of deputes among financial economists and investors for long time. Whether takeover can be predicted, means whether excess profits can be gained according to public information. The paper studied the takeovers during 1998-1999 of Chinese A share listed company by means of Logit conditional probability model. The estimating model can strongly demonstrate the happening of the takeovers, yet satisfied prediction is not able to be achieved. The empirical results support the semi-strong efficient market hypothesis.
Key words：Listed Company, Takeover, Predictability
目录
一、问题提出
二、 模型估计方法及样本选择
1．模型方法
2． 样本选择
变量选择(
三、 模型估计及结果分析
1、参数估计
2．结果分析
四、 模型预测能力检验
1． 概率阈值(Cutoff)的确定
2．预测检验
(1) 检验样本
(2) 检验过程
参考文献
[1] Crawford, Deanj and Thomas A.Lechner, 1996, " Takeover premiums and anticipated merger gains in theU.S.market for corporate control ," Journal of Business Finance and Accounting, July V23 N.5-6
[2] Fama,Eugene F., Kennenth R.French, 1999, " Forecasting Profitability and Earning " Working Paper
[3] Jensen, M. J. and R.S. Ruback, 1983,"The market for corporate control：The scientific evidence," Journal of Financial
Economics 11
[4] Dietrich, J. Kimball ,.and E. Sorensen, 1984," An application of logit analysis to prediction of merger targets," Journal of Business Research 12
