本研究欲研究併購宣告對股票異常報酬及企業信用風險的影響，以台灣上市櫃公司作為研究對象，鎖定研究期間自2013年至2023年主併企業生存且被併企業消滅的併購事件，第一部分，採用事件研究法探討併購宣告對股價變動的影響，並觀察宣告前後是否產生異常報酬，第二部分，採用成對母體平均數 t 檢定，分析併購事件的主併企業，於併購宣告前後半年期間的平均TCRI風險評等變化情形。
　　實證分析發現，主併企業在股票市場於宣告日後產生顯著的正累積異常報酬，表示投資人對於台灣的企業併購案具有一定的信心，因此投資人可於宣告日後購買並持續持有主併企業的股票，把握併購事件的套利機會取得獲利，同時主併企業因受資訊外洩或內線交易的影響，於宣告日前產生顯著的正累積異常報酬，可見主管機關對於企業併購的交易制度與市場監管需更加嚴謹，提升資本市場的公平性；而企業併購預期創造的綜合效益，因受主併與被併企業的公司規模差異及併購整合時間的影響，對於主併企業於併購宣告前後半年期間的平均TCRI風險評等無顯著影響，無法降低企業信用風險。
　　本研究目的期能以實證結果，提供投資人作為日後擬定最佳投資策略之參考，證明併購決策雖無法提升企業的TCRI風險評等，但對於股價報酬具有影響力，能依此獲得異常報酬。

　　This study examines the impact of merger announcements on abnormal stock returns and TCRI credit ratings for publicly listed companies in Taiwan from 2013 to 2023, focusing on cases where the acquiring company remains and the acquired company is dissolved. Using an event study method, it assesses abnormal returns before and after merger announcements and employs a paired t-test to analyze changes in the average TCRI credit rating of acquiring companies over a six-month period surrounding the announcements.
　　The results indicate that acquiring companies experience significant positive cumulative abnormal returns post-announcement, reflecting strong investor confidence. This suggests potential arbitrage opportunities for investors buying and holding the acquiring company's stock post-announcement. However, positive cumulative abnormal returns before the announcement suggest possible information leakage or insider trading, highlighting the need for stricter regulatory oversight. Additionally, the anticipated synergistic benefits of mergers do not significantly impact the average TCRI credit rating of acquiring companies within six months around the announcement, failing to reduce corporate credit risk. This study provides empirical evidence to guide investors, showing that while mergers do not improve TCRI credit ratings, they significantly affect stock returns, enabling abnormal returns.

第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究範圍 3
第四節 研究架構與流程圖 4
第貳章 相關文獻探討 5
第一節 企業併購 5
第二節 併購宣告對股價的影響 11
第三節 TCRI企業信用風險評等 13
第參章 研究方法 17
第一節 資料來源 17
第二節 事件研究法模型 17
第三節 定義與估計異常報酬率 20
第四節 TCRI變動統計分析 32
第五節 實證分析方法 33
第肆章 實證結果與分析 36
第一節 樣本基本介紹 36
第二節 敘述統計分析 37
第三節 實證結果與假說檢定分析 39
第伍章 結論與建議 46
第一節 結論 46
第二節 研究限制與建議 47
參考文獻 49

一、中文文獻
1. 中華經濟與金融協會及台灣併購與私募股權協會. (2016) . 企業併購的第一堂課. 日月文化集團, 21-22, 32, 143-144.
2. 王仁智. (2009) . TCRI信用評等變動因素之實證研究. 國立高雄第一科技大學風險管理與保險所碩士論文.
3. 王朝義. (2017) . 影響併購後股市異常報酬因素之研究: 以台灣上市, 上櫃公司為例. 企業管理學報, (112) , 99-116.
4. 伍忠賢. (2013) . 企業併購: 理論與實務. 新陸出版.
5. 吳文德, & 陳振遠. (2007) . 公司治理與代理問題對企業併購績效影響之研究. 以台灣上市公司為例. 澳門科技大學學報, 第一卷.
6. 吳安妮. (1992) . 台灣企業併購動機之實證研究. 管理評論
7. 呂佳玲, & 林基煌. (2008) . 家族企業公司治理, 併購策略與績效之探討. 亞太經濟管理評論, 11 (2) , 107-134.
8. 洪嘉良. (2004) . 合併購併類型、長短期超額報酬與優勢資訊內涵. 銘傳大學財務金融學系碩士班碩士論文
9. 姚蕙芸. (2001) . 企業併購類型、評價方法及綜效之探討. 國立臺北商業技術學院學報, 第一卷, 1-24.
10. 陳春山. (2018) . 企業併購及控股公司法實務問題. 第三版, 台北：新學林.
11. 徐啟升, & 林灼榮, &李淯靖. (2005) . 台灣上市併購公司之股票長期績效分析. 台灣財務金融學會研討會論文, 國立成功大學.
12. 孫梅瑞, & 陳隆麒. (2002) . 臺灣地區上市公司從事購併活動對經營績效影響之研究. 中山管理評論
13. 葉秋美. (1992) . 臺灣企業購併宣告對股東財富之影響. 國立政治大學國際貿易研究所碩士論文.
14. 資誠聯合會計師事務所. (2023) . 2023 台灣併購白皮書. 台北：資誠聯合會計師事務所.
15. 鄭詩涵. (2021) . 投資人情緒與股票報酬異常現象. 國立臺灣大學財務金融學系學位論文, 2021, 1-59.
16. 薛明玲. (2011) . 企業併購策略與最佳實務. 財團法人資誠教育基金會出版.
17. 羅明敏. (1998) . 從代理問題探討台灣上市公司購併宣告對股東財富之影響. 朝陽科技大學財務金融學研究所碩士論文.

二、英文文獻
1. Agrawal, A., Jaffe, J. F., & Mandelker, G. N. (1992) . The post‐merger performance of acquiring firms: a re‐examination of an anomaly. The Journal of finance, 47 (4) , 1605-1621.
2. Andrade, G., Mitchell, M., & Stafford, E. (2001) . New evidence and perspectives on mergers. Journal of economic perspectives, 15 (2) , 103-120.
3. Ball, R., & Brown, P. (2013) . An empirical evaluation of accounting income numbers. In Financial Accounting and Equity Markets (pp. 27-46) . Routledge.
4. Beaver, W. H. (1968) . The information content of annual earnings announcements. Journal of accounting research, 67-92.
5. Beaver, W. H. (1982) . Discussion of market-based empirical research in accounting: A review, interpretation, and extension. Journal of Accounting Research, 323-331.
6. Bradley, M., Desai, A., & Kim, E. H. (1988) . Synergistic gains from corporate acquisitions and their division between the stockholders of target and acquiring firms. Journal of financial Economics, 21, 3-40.
7. Brealey, R. A. (1991) . a Stewart C. Myers. Teorie a praxe firemních financí, 1, 19-26.
8. Brigham, J. (1987) . The Politics of Constitutional Interpretation. Law & Soc'y Rev., 21, 777.
9. Collins, D. W., & Dent, W. T. (1984) . A comparison of alternative testing methodologies used in capital market research. Journal of accounting research, 48-84.
10. Conn, R. L., Cosh, A., Guest, P. M., & Hughes, A. (2005) . The impact on UK acquirers of domestic, cross‐border, public and private acquisitions. Journal of Business Finance & Accounting, 32, 815-870.
11. Cornett, M. M., & Travlos, N. G. (1989) . Information effects associated with debt‐for‐equity and equity‐for‐debt exchange offers. The Journal of Finance, 44 (2) , 451-468.
12. Dodd, P. (1980) . Merger proposals, management discretion and stockholder wealth. Journal of financial economics, 8 (2) , 105-137.
13. Faccio, M., & Masulis, R. W. (2005) . The choice of payment method in European mergers and acquisitions. The Journal of Finance, 60 (3) , 1345-1388.
14. Fama, E. F. (1976) . Foundations of finance. (No Title) .
15. Fama, E. F., & French, K. R. (1993) . Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33, 3-56.
16. Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969) . The adjustment of stock prices to new information. International economic review, 10 (1) , 1-21.
17. Glascock, J. L., Henderson Jr, G. V., Officer, D. T., & Shah, V. (1991) . Examining the sensitivity of the standardized cumulative prediction error as an event study test statistic. Journal of Economics and Business, 43 (1) , 49-57.
18. Hotchkiss, E. S., & Mooradian, R. M. (1998) . Acquisitions as a means of restructuring firms in Chapter 11. Journal of Financial Intermediation, 7 (3) , 240-262.
19. Jabbour, A. R., Jalilvand, A., & Switzer, J. A. (2000) . Pre-bid price run-ups and insider trading activity: Evidence from Canadian acquisitions. International Review of Financial Analysis, 9 (1) , 21-43.
20. Karafiath, I., & Spencer, D. E. (1991) . Statistical inference in multiperiod event studies. Review of Quantitative Finance and Accounting, 1, 353-371.
21. Kisgen, D. J. (2019) . The impact of credit ratings on corporate behavior: Evidence from Moody's adjustments. Journal of Corporate Finance, 58, 567-582.
22. Langetieg, T. C. (1978) . An application of a three-factor performance index to measure stockholder gains from merger. Journal of Financial Economics, 6 (4) , 365-383.
23. Loughran, T., & Vijh, A. M. (1997) . Do long‐term shareholders benefit from corporate acquisitions?. The Journal of finance, 52, 1765-1790.
24. Malmendier, U., & Tate, G. (2008) . Who makes acquisitions? CEO overconfidence and the market's reaction. Journal of financial Economics, 89 (1) , 20-43.
25. Mandelker, G. (1974) . Risk and return: The case of merging firms. Journal of financial economics, 1 (4) , 303-335.
26. Masulis, R. W., Wang, C., & Xie, F. (2007) . Corporate governance and acquirer returns. the Journal of Finance, 62 (4) , 1851-1889.
27. Meckling, W. H., & Jensen, M. C. (1976) . Theory of the Firm. Managerial Behavior, Agency Costs and Ownership Structure.
28. Montgomery, C. A. (1994) . Corporate diversification. Journal of economic perspectives, 8 (3) , 163-178.
29. Myers, S. C., & Majluf, N. S. (1984) . Corporate financing and investment decisions when firms have information that investors do not have. Journal of financial economics, 13 (2) , 187-221.
30. Neary, J. P. (2007) . Cross-border mergers as instruments of comparative advantage. The Review of Economic Studies, 74 (4) , 1229-1257.
31. Patell, J. M. (1976) . Corporate forecasts of earnings per share and stock price behavior: Empirical test. Journal of accounting research, 246-276.
32. Pound, J. (1988) . Proxy contests and the efficiency of shareholder oversight. Journal of financial economics, 20, 237-265.
33. Rappaport, A., & Sirower, M. L. (1999) . Stock or cash?. Harvard business review, 77 (6) , 147-147.
34. Roll, R. (1986) . The hubris hypothesis of corporate takeovers. Journal of business, 197-216.
35. Rugman, A. M., & Verbeke, A. (2002) . Edith Penrose's contribution to the resource‐based view of strategic management. Strategic management journal, 23 (8) , 769-780.
36. Seth, A. (1990) . Value creation in acquisitions: A re‐examination of performance issues. Strategic management journal, 11 (2) , 99-115.
37. Sharpe, W. F. (1964) . Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19 (3) , 425-442.
38. Smith, G. D., Arnold, D. R., & Bizzell, B. G. (1988) . Business strategy and policy. (No Title) .
39. Stambaugh, R. F., Yu, J., & Yuan, Y. (2012) . The short of it: Investor sentiment and anomalies. Journal of financial economics, 104 (2) , 288-302.
40. Stigler, G. J. (1983) . The organization of industry. University of Chicago Press.
41. Ziebart, D. A. (1985) . Control of beta reliability in studies of abnormal return magnitudes: A methodological note. Journal of Accounting Research, 920-926.