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系統識別號 U0026-2506201716023700
論文名稱(中文) 次貸危機是否影響美國REITS投資人的風險偏好:以境內與跨境併購分析為例
論文名稱(英文) Does Subprime Mortgage Crisis Influence Risk Appetite of US REITs Investors: A Study on Domestic and Cross-border M&A
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance
學年度 105
學期 2
出版年 106
研究生(中文) 張暄
研究生(英文) Hsuan Chang
學號 R86044037
學位類別 碩士
語文別 英文
論文頁數 34頁
口試委員 指導教授-王澤世
指導教授-劉裕宏
口試委員-林軒竹
中文關鍵字 REITs  併購  次貸危機  境內  跨境 
英文關鍵字 REITs  M&A  Subprime mortgage crisis  Domestic  Cross-border 
學科別分類
中文摘要 本研究比較了美國REITs投資者對於在不同經濟狀況時境內及跨境併購宣告的風險偏好,並分析併購宣告所傳遞的訊號。基於美國REITs公司從2005年到2010年的182筆併購宣告總樣本,可以發現在兩天的事件期間裡平均股價異常報酬為0.73%。若把總樣本再依據次貸危機前中後與境內、跨境宣告細分,可以發現在次貸危機時的顯著正報酬主要是來自境內併購宣告,在兩天的事件期間裡擁有1.86%的顯著正異常報酬,而跨境併購宣告只有不顯著的1.28%正異常報酬。接著更進一步的研究指出,次貸危機過後,由於投資者的不安與惶恐,風險規避程度會上升,也因此地理多角化的分散程度與異常報酬會呈現顯著的正向關係。最後也發現了新變數-REITs房產所在的州數在分析相關併購時是有效的,未來可以依據此方向進行更深入的研究與確定此解釋能力。
英文摘要 This paper compares the risk appetite of US REITs investors with domestic and cross-border M&A announcements under different economic conditions, analyzing the information content in the periods under consideration. Based on a sample of 182 M&A announcements made by US REITs between 2005 and 2010, the evidence shows that they are associated with a positive stock price reaction, averaging 0.73% over a 2-day window. Stratifying the sample into domestic M&A and cross-border M&A across different market conditions, the evidence indicates that the significant positive economic gains that occurred during the subprime mortgage crisis flowed from the pool of domestic M&A announcements. They registered a significant mean abnormal return of 1.86 % over the 2-day window, as opposed to an insignificant 1.28% for the pool of cross-border M&A announcements. Further investigation confirms that since the subprime mortgage crisis, the risk aversion level of US REITs investors has raised due to the panic and uncertainty associated with a financial crisis. Thus, the degree of geographic diversification which has positive influence on abnormal return has increased. In addition, a new variable, the number of states that the REITs firm has properties in is regarded to be effective in analyzing REITs M&A. Along this direction this study paves the way for future deep research confirming that this proxy variable has high explanatory power.
論文目次 1. Introduction 1
2. Literature review 4
2-1 Domestic & cross-border M&A 4
2-2 M&A of REITs 5
2-3 M&A in the subprime mortgage crisis 5
3. Data and Methodology 7
3-1 Data 7
3-2 Methodology 8
3-2-1 Measuring abnormal returns 8
3-2-2 Multivariate regression model 10
4. Empirical results 14
4-1 Comparing acquirers’ abnormal return in different period and cross-border/domestic deals 14
4-2 Cross-sectional analysis of abnormal returns 16
5. Conclusion 21
6. References 22
AppendixⅠ: 160 domestic M&A announcements 25
AppendixⅡ: 22 cross-border M&A announcements 33
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