English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 100483/131283 (77%)
Visitors : 37364764      Online Users : 27
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/124259

    Title: 季節性情緒失調和併購事件的相關性
    Relationship between Seasonal Affective Disorder and M&A events
    Authors: 黃韋綾
    Huang, Wei-Ling
    Contributors: 周冠男
    Chou, Robin K.
    Huang, Wei-Ling
    Keywords: 行為財務學
    Behavioral finance
    Seasonal Affective Disorder
    Mergers and acquisitions
    Date: 2019
    Issue Date: 2019-07-01 11:12:34 (UTC+8)
    Abstract: 本研究欲探討季節性情緒失調(Seasonal Affective Disorder,簡稱SAD)是否會影響投資人對於併購事件的反應。季節性情緒失調是一種好發於秋季和冬季的情緒失調,過去研究顯示SAD會導致投資人有風險趨避的傾向,進而造成股票報酬的季節性波動。由於併購事件的重大性及複雜性往往會讓投資人難以衡量並做出決策,因此假設投資人受到環境影響的情緒波動會對股市造成更顯著的影響。
    This study investigates whether the effect of seasonal affective disorder (SAD) will have an impact on investors’ response to merger and acquisition (M&A) events. Seasonal affective disorder is a mood disorder characterized by recurring depression in fall and winter. Prior studies have shown that the tendency of risk aversion caused by SAD leads to seasonal variation in stock returns. Given the fact that M&A is such a substantial and complicated event that makes investors more difficult to measure and make decisions, it is assumed that environment induced mood influence on the stock market can be more evident.
    Empirical results suggest that the stock returns of both acquirers and targets involved in M&A events have been affected by the effect of SAD. More specifically, there is a positive relationship between the SAD variable and stock returns, but only appears significant in a relatively longer event window. The empirical results imply that the influence of SAD on the M&A transactions may be more evident as the window period extends.
    Reference: Andrade, G., Mitchell, M., & Stafford, E. (2001). New evidence and perspectives on mergers. Journal of Economic Perspectives, 15(2), 103-120.
    Bhabra, H. S. & Huang, J. (2013). An empirical investigation of mergers and acquisitions by Chinese listed companies, 1997-2007. Journal of Multinational Financial Management, 23, 186-207.
    Bouzgarrou, H., & Louhichi, W. (2014). Does the financing decision help to understand market reaction around mergers and acquisitions? Journal of Applied Business Research, 30(2), 465-478.
    Chang, S. (1998). Takeovers of privately held targets, methods of payment and bidder returns. Journal of Finance, 53, 773-784.
    Chang, S., Chen, S., Chou, R., & Lin, Y. (2008). Weather and intraday patterns in stock returns and trading activity. Journal of Banking & Finance, 32, 1754-1766.
    Dolvin, S., & Pyles, M. (2007). Seasonal affective disorder and the pricing of IPOs. Review of Accounting and Finance, 6(2), 214-228.
    Dolvin, S. D., Pyles, M. K., & Wu, Q. (2009). Analysts get SAD too: The effect of seasonal affective disorder on stock analysts' earnings estimates. Journal of Behavioral Finance, 10(4), 214-225.
    Eisenberg, A. E., Baron, J., & Seligman, M. E. P. (1998). Individual differences in risk aversion and anxiety. Working paper, Department of Psychology, University of Pennsylvania.
    Fuller, K., Netter, J., & Stegemoller, M. (2002). What do returns to acquiring firms tell us? Evidence from firms that make many acquisitions. Journal of Finance, 57 (4), 1763-1793.
    Garrett, I., Kamstra, M., & Kramer, L. (2005). Winter blues and time variation in the price of risk. Journal of Empirical Finance, 12(2), 291-316.
    Gaughan, P. A. (2005). Mergers: what can go wrong and how to prevent it. John Wiley & Sons, Hoboken, N.J.
    Hirschleifer, D., & Shumway, T. (2003). Good day sunshine: Stock returns and the weather. Journal of Finance, 58(3), 1009-1032.
    Jarrell, G. A., Brickley, J. A., & Netter, J. M. (1988). The Market for Corporate Control: The Empirical Evidence Since 1980. Journal of Economic Perspectives, 2(1), 49-68.
    Jensen, M. C., & Ruback, R. S. (1983). The market for corporate control: the scientific evidence. Journal of Financial Economics, 11(1-4), 5-50.
    Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2003). Winter blues: a sad stock market cycle. American Economic Review, 93, 324-343.
    Kliger, D., & Kudryavtsev, A. (2014). Out of the blue: mood maintenance hypothesis and seasonal effects on investors’ reaction to news. Quantitative Finance, 14(4), 629-640
    Lin, M. (2015). Seasonal affective disorder and investors' response to earnings news. International Review of Financial Analysis, 42, 211-221.
    MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13-39.
    Molin, J., Mellerup, E., Bolwig, T., Scheike, T., & Dam, H. (1996). The influence of climate on development of winter depression. Journal of Affective Disorders, 37, 151-155.
    Morck, R., Shleifer, A., & Vishny, R. W. (1990). Do managerial objectives drive bad acquisitions? Journal of Finance, 45(1), 31-48.
    Rhodes-Kropf, M., & Viswanathan, S. (2004). Market valuation and merger waves. Journal of Finance, 59(6), 2685-2718.
    Rosenthal, N. (1998). Winter blues: Seasonal affective disorder: What it is, and how to overcome it. The Guilford Press.
    Saunders, E. (1993). Stock prices and Wall Street weather. American Economic Review, 83(5), 1337-1345.
    Symeonidis, L., Daskalakis, G., & Markellos, R. (2010). Does the weather affect stock market volatility? Finance Research Letters, 7(4), 214-223.
    Wong, A., & Carducci, B. J. (1991). Sensation seeking and financial risk taking in everyday money matters. Journal of Business and Psychology, 5(4), 525-530.
    Young, M., Meaden, P., Fogg, L., Cherin, E., & Eastman, C. (1997). Which environmental variables are related to the onset of seasonal affective disorder? Journal of Abnormal Psychology, 106(4), 554-562.
    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0106363041
    Data Type: thesis
    DOI: 10.6814/NCCU201900146
    Appears in Collections:[企業管理研究所(MBA學位學程)] 學位論文

    Files in This Item:

    File SizeFormat
    304101.pdf2236KbAdobe PDF0View/Open

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback