Predicting Takeover Target and Analysis of Portfolio Performance

• Main Authors: I Hsu, 徐懿
• Other Authors: 邱顯比
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/60078606461619651734

碩士 === 國立臺灣大學 === 財務金融學研究所 === 105 === This thesis studies the influence factors of takeover prediction and the potential to generate excess return based on the prediction model in Taiwan market. A takeover prediction model is developed using logit regression and a sample of 180 targets and 13,705 non-target observation from Taiwan listed companies from 2001 to 2014. Research period across 2003-2007 bull market and 2008 financial crisis, a completed economic cycle. The empirical analysis finds significant negative influence of ROE, earning before tax as well as positive relations of EBITDA, sales growth, book value, PE ratio, 3 month return on takeover probability. An out-of-sample test for 2014 found a predictive accuracy of 83.5% for the model, identifying 66.67% of target and 83.4% of non-targets correctly. The portfolio get return of 35.6%, higher than market portfolio with return of 8.1% in 2014. For clarifying the extension of the model, the thesis form a rolling test from 2006-2013 to test portfolio performance. The portfolio realized compound annual return 14.71% compared to market portfolio return of 3.91%.