本研究目的是檢定本國企業之併購宣告對於股票系統風險的影響，及其是否受到固定資產比率、付息負債比率及併購宣告之股價反應的正向影響。本文以2008年至2021年之本國上市和上櫃公司的併購事件為樣本，經特定條件篩選並排除銀行、保險及證券產業，使用事件研究法配合三因子模式估計事件宣告的股票異常報酬，並以平均數和中位數的差異檢定方法以及多元迴歸分析來檢定假說。實證結果發現：一、併購事件日前後的系統風險變化之平均值為正數，但統計上並不顯著、標準差大，意味各事件公司之股票系統風險變化有頗大的差異。二、併購宣告的股票累積異常報酬為正，表示市場看好併購事件的未來績效，特別是自宣告前1日至後1日統計上最為顯著。三、系統風險變動之迴歸分析結果指出併購宣告前後系統風險的變化：(1) 受固定資產比率變動之正向影響，且可能與季度之更迭有關連性，較不會因公司之不同而變動。(2) 受付息負債比率變動之正向影響，且可能會因不同公司而變異，較不會隨季度改變而變動。(3) 系統風險之變動不受事件宣告異常報酬之影響。 The purpose of this research is to examine the influence of firm mergers and acquisitions (M&A) announcements on the systemic risks of stocks in Taiwan, and whether the fixed asset ratio, the debt with interest to total asset ratio, and stock price reaction to the M&A announcements have a positive influence on the change in systemic risks. This research uses the M&As of the listed and OTC companies in Taiwan as samples, having selected them through specific criteria and excluded the banking, insurance, and securities industries. We use the event study approach and the three-factor model to estimate abnormal returns in stocks related to the M&A announcements. We then test for the median- and mean-difference and use multiple regression analyses to test our hypotheses.The empirical result shows that: first, the mean for change in systemic risks around the M&A announcements is positive, but this is not statistically significant, and the standard deviation is large. This indicates that there is great variance in stock systemic risks among different sample companies and can be used as the dependent variable in the regression analysis. Second, a positive cumulative abnormal return (CAR) around the M&A announcement indicates that the market is optimistic about company performance after the mergers. The most significant reaction is the CAR for the day before to the day after the announcement. Third, the regression analysis of changes in systemic risks shows the changes before and after M&A announcements: (1) are positively affected by the change in the fixed asset ratio. This influence might be related to seasonal changes and is unlikely to differ by company; (2) are positively affected by the change in the interest-paid debt to total assets, but the influence might differ by company and is unlikely to be related to seasonal changes, and (3) are not affected by CARs resulting from M&A announcements.
