本文將過去文獻Bali et al. (2011)提出的樂透型股票MAX效應與Nguyen et al.(2016)提出盈餘宣告中存在樂透型股票效應，以及併購宣告異常報酬相結合，探討併購宣告期間之樂透型股票極端報酬與未來報酬的相關性。另外，為符合併購宣告資料時間分布的特性使用累積異常報酬作為衡量MAX效應的影響對象。實證結果顯示，對於併購宣告期間而言，主被併公司皆於宣告前一個月的交易日內之極端高報酬與宣告後之異常報酬為正相關，且異常報酬較高的股票會在之後反轉，存在先漲後跌的趨勢。主被併公司獲得之極高報酬程度皆與未來宣告後之異常報酬為正相關，而獲得之極低報酬程度則都與未來宣告後之異常報酬無關，存在投資人反應之不對稱性。整體而言，投資人在股票市場中的賭博行為於併購宣告期間也存在，其心理上的偏誤在併購宣告期間也會產生對於樂透股票的偏好。

The goal of this paper is to analyze the return pattern around M&A announcements in the context of Bali et al. (2011) MAX effect of lottery stocks and Nguyen et al.(2016) lottery demand time-vary around earnings announcements. We focus on the relationship between past M&A announcement extreme returns and future returns after M&A announcements. To examine the pattern around M&A announcement, we use cumulative abnormal returns (CAR) to measure the MAX effect around M&A announcement period. Our results indicate that past high return rate is positively correlated with the abnormal returns before 5 days after the M&A announcements; however the positive correlation will reverse in 6 days after the announcements. Investors’ reaction with regard to past high extreme returns versus past low extreme returns are asymmetric. In general, investors’ gambling preference can be detected in the M&A announcement period, consistent with the view that irrational investing behavior leads to the preference of lottery stocks

論文審定書……………………………………………………………………………………………….i
誌謝……………………………………………………………………………………………………....ii
中文摘要………………………………………………………………………………………………...iii
英文摘要…..………………………………………………………………………………………….....iv
圖次………..………………………………………………………………………………………….....vi
表次………..………………………………………………………………………………………….....vi
第一章 導論…………………………………………………………………………………………..1
1.1 研究背景與動機…………………………………………………………………………1
1.2 研究目的與貢獻…………………………………………………………………………2
1.3 研究架構…………………………………………………………………………………3
第二章 相關文獻探討………………………………………………………………………………..4
2.1 MAX效應…………………………………………………………………………………..4
2.2 併購宣告異酬………………………………………………………………………………5
2.3 獨特性波動度效應…………………………………………………………………………6
2.4 研究假說……………………………………………………………………………………6
第三章 資料與研究方法……………………………………………………………………………..8
3.1 資料來源……………………………………………………………………………………8
3.2 計算MAX指標………………………………….…………………………………………8
3.3 計算併購累積異常報酬...……………………….…………………………………………9
3.4 計算獨特性波動度……...……………………….………………………………………..10
3.5 控制變數………………...……………………….………………………………………..10
3.5.1宣告效果控制變數.……………………….………………………………………...10
3.5.2樂透效果控制變數.……………………….………………………………………...11
3.6 研究方法………………...……………………….………………………………………..12
3.6.1單變量投組分析….……………………….………………………………………...12
3.6.2雙變量投組分析….……………………….………………………………………...13
3.6.2回歸分析………….……………………….………………………………………...15
第四章 實證結果……………………………………………………………………………………15
4.1 敘述統計…………………………………………………………………………………..15
4.2 極端高報酬對未來併購宣告異常報酬之影響…………………………………………..19
4.3 購宣告事件中投資人反應之不對稱性…………………………………………………..40
第五章 結論…………………………………………………………………………………………49
第六章 參考文獻……………………………………………………………………………………50

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