Research On M & A Performance Of Chinese Listed Companies Based On Fama - French Three - Factor Model

The traditional enterprises rely mainly on internal capital accumulation, increase assets, expand business and improve market share, while the modern enterprise expansion is not limited to the internal capital accumulation, mainly through mergers and acquisitions and strategic implementation, quickly taking over the Target Corp, so as to realize the integration of assets, business concept, business scope and market scope. Along with the capital market gradually developed, the Shanghai Stock Exchange and Shenzhen Stock Exchange of enterprise merger and acquisition transactions have become increasingly frequent, the impact of mergers and acquisitions in the securities market is also becoming more and more important, become the focus of attention of the academic circles.In this paper, with the help of Fama-French three factor model, and focuses on the M&A performance of enterprises of the Shanghai Stock Exchange and Shenzhen Stock Exchange by using the method of event study, and analyzed the performance of mergers and acquisitions from the cumulative rate of return of CAAR change trend. In the empirical analysis, the processing of the data required to model from the selected sample data, have been improved on the basis of the experience of application of domestic and foreign scholars on the model, in order to make the research results more practical and meet the basic requirements of the empirical analysis of the selected time window, respectively(-30, 29) and(-12, 15), the former for the analysis of regression model, which is used to calculate the sample stock CAAR. The main conclusions are as follows: The first, based on the idea of FF model to calculate the expected stock return rate; Second, get abnormal return through the event study method to calculate the stock because the information reaction with; Third, the cumulative abnormal return to measure the performance of mergers and acquisitions. Fourth, there are combination and comparison about the M&A performance analysis of the full sample different of types of M&A respectively.Through the above analysis, this article main research results and conclusions are as follows:First, the analysis of FF regression model of the sample based on the results of the combined group, found that the M&A performance of the small is higher than the large, and the M&A performance of high book to market of the listing Corporation value is higher than the low book to market value of the listing Corporation;Second, for the full sample of CAAR can be calculated in advance, before the announcement period stock response to information of M&A performance, indicating the existence of China’s securities market insider trading;Third, M&A events announcement period after only a short CAAR upward trend, showing the momentum phenomenon is short, then the amendment process long-term stock price overreaction to information about the event, indicating that China’s stock market is highly speculative, the stock price of the event information "to see the market performance of the light.";Fourth, the difference between the stock returns of different types of mergers and Acquisitions: From the merger and acquisition types, diversification strategy M&A performance is better than horizontal and vertical mergers and acquisitions. This lies in the diversification of mergers and acquisitions in the stage of economic transformation in China more suitable for business to reduce business risks.Based on the above conclusions, this paper believes that in the several suggestions to perfect domestic M&A market environment to improve the performance of mergers and acquisitions of listing Corporation should be adopted: First, improve the legal system to fill the blank bill; Second, improve the audit system reform of mergers and acquisitions to improve mergers and acquisitions market efficiency; Third, by the means of mergers and acquisitions payment innovation, mergers and acquisitions both reduce risk; Fourth, by the improvement of the information disclosure system, improve the transparency of market information.