本研究是研究探討我國上市(櫃)公司，宣告實施併購活動後，不同投資期間股東權益報酬，另也針對不同的投資期間進行基準模型之檢定力與配適度。本研究採用Fama and French(1993)提出的市場因素、公司規模、淨值市價比等三因子模型為主要研究架構，加入動能以及交易量因素形成一個五因子模型，探討這五個變數對主併公司併購活動宣告後，對股東權益報酬之解釋力，以驗證各效應的存在與否，並檢視何者才是解釋股東權益報酬的基礎 。經由本研究探討，歸納結論如下：
四、價值型主併公司的超額報酬率，其檢定結果為顯著；成長型主併公司的超額報酬率，其檢定結果並不顯著。價值型主併公司股票在實施併購宣告之前，股價有被低估之虞，且主併公司實施併購活動之後，其超額報酬表現又優於成長型主併公司股票的表現。 The thesis analysis about the listed companies in Taiwan which being announced as Merger and Acquirement (M&A), the effect of stockholder’s equity return among different investment horizons. Three-Factor model (Fama and French,1993) was utilized as the fundemental structure for this study. We also utilize the three-factor model and then develop five-factor model for capital assets pricing(three-factor added with momentum and trading volume factors), to examine which one would be the significant effect on stockholder’s equity return of the acquiring firms. The result was as the following statements:
1.Market factor is not the noly factor with significant influence on the stockholder’s equity return of acquiring firms, even stockholder’s average return is inclusive of system risk. Trading volume is also the other factor to be with significant influence on the stockholder’s equity return of acquiring firms.
2.While execute the M&A,un-tranditional industries would achieve the economies of scale rapidly, it achieve the operation synergy easier by business resource integrated, and with better performance than tranditional industries execute the M&A.
3.M&A activities among related industries would be with significant operating synergy than un-related industries, M&A activities among un-related industries would achieve financial synergy, caused by cash flow usefully allocated and then financial risk eliminated.
4.The statistics test for the value acquiring firms about abnormal return is significant, but it led to non-significant statistics test for growth acquiring firms. In respect of stock price after M&A announced, value acquiring firms would be better performance than growth acquiring firms.