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本文以截至2004年10月份经媒体批露的23个上市公司作为样本,对有关管理层的收购市场反应进行实证研究。根据资本资产定价模型得出样本企业与市场风险的相关性系数,进而求出MBO公告日及前一天市场预期误差的平均值,通过建立线性模型对反映管理层收购价格与企业净资产之差引起的市场预期收益率的变化进行回归,结果是这两个变量之间存在负的相关关系。同经验假设一致,当进行收购的是企业的经营者时,他们出于成本收益的考虑会对MBO的收购或转让价格进行调整,使其低于收购季度的每股净资产,从而获得超额收益,损害流通股股东的权益。同时MBO收购的性质也会对股价产生一定的影响。
In this paper, as of October 2004 by the media exposed 23 listed companies as a sample, the management of the acquisition reaction to the market empirical research. According to the capital asset pricing model, the correlation coefficient between the sample companies and the market risk is obtained, and then the average value of the market expected errors of the MBO announcement day and the day before is obtained. The linear model is adopted to reflect the difference between the management purchase price and the net assets of the enterprise The market expected return rate of return, the result is a negative correlation between the two variables. Consistent with the empirical assumption, when it comes to acquiring a business operator, they may adjust MBO’s acquisition or transfer price below the net assets per share acquired in the quarter for cost-benefit to earn excess returns , Damage the rights and interests of shareholders of tradable shares. At the same time the nature of the MBO acquisition will have a certain impact on the stock price.