|
|
|
| The Effects of Valuation Adjustment Mechanisms on Acquisition Premium and Market Response |
| FENG Ke, XING Xiaoxu, HE Li
|
School of Economics, Peking University;
School of Applied Economics, Renmin University of China;
Faculty of Applied Economics, University of Chinese Academy of Social Sciences |
|
|
|
Abstract A contractual innovation in the M&A market, valuation adjustment mechanisms (VAMs) signal positive effects, such as reduced risk and M&A costs, for investors. However, whether accepting an excessive M&A premium to reach an agreement constitutes a reasonable VAM is an open question. Therefore, this paper theoretically and empirically analyzes the role of VAMs in transferring M&A risk and enhancing investor utility.
This paper makes three main contributions to the literature. (1) Building on previous research, it establishes a game model of buyers and sellers in an information-asymmetric M&A market to theoretically analyze the role of a VAM in transferring M&A risk and enhancing investors' utility, and the correlations between the variables in the model are theoretically sorted. (2) The empirical analysis supplements two strands of the literature on the correlations between VAMs, M&A premiums, and market reactions. First, it examines the relationship between the details of VAMs (relative performance commitment size and contract length) and the premiums offered in M&A transactions. Second, as the market reacts to a VAM, this paper further explores the masking and threshold functions of the M&A premiums resulting from VAMs on the relationship between the VAM and abnormal stock returns. (3) This paper focuses on the follow-up after the VAM agreement is signed. The role of M&A premiums in the relationship between the contract details and VAM performance and between the market reaction and VAM performance are further analyzed.
The data are mainly from the VAMs, M&A, and Stock Market Transactions Database of the China Stock Market Accounting Research (CSMAR). The sample comprises 2,564 asset acquisition cases from 2006 to 2020 in which the acquirer is a listed company, including 1,831 M&A transactions with a VAM and 733 M&A transactions without a VAM. Among the transactions with a VAM, 1,194 involve performance of the VAM, and 704 have completed performance requirements in every year.
The three main findings are as follows: (1) The transactions with a VAM have higher M&A transaction premiums compared with those without a VAM, and those transactions also have larger relative performance commitments and longer betting periods. However, the contribution of the performance commitment to the premium varies. Excessively high relative performance commitments reduce the acceptance of betting agreements by high-quality acquirees, resulting in a crowding-out effect. A further grouping study using a subsample of unrelated transactions shows that investors are willing to pay a higher premium for a VAM. In other words, the prominent premium effect in the unrelated transaction group indirectly illustrates that a VAM reduces the risk of information asymmetry. (2) This paper investigates the intermediate masking effect of M&A premiums between VAMs and stock market responses. The results show that in general, the market response to a VAM is positive. This indicates that because VAMs are used to address information asymmetry, the market does not interpret relatively high premiums as a signal of overpayment within a certain range. However, in cases of severe information asymmetry, it is irrational to accept a very high premium to obtain a VAM agreement, because if the premium is too high, it creates an adverse selection problem. In this case, the partial masking effect of the M&A premium causes the market to react negatively. The threshold effect test confirms that above a certain threshold, the market has a negative reaction to the introduction of a VAM in an M&A transaction. (3) After addressing potential endogeneity in the model using the propensity score matching (PSM) and instrumental variable (IV) methods, further analysis of the realization of a VAM reveals that the probability of VAM realization is lower with more strict performance targets and longer horizons. However, high performance targets and long horizons can, to some extent, help firms obtain more funds through the premium, which will help them win the bet. Thus, the M&A premium has a negative intermediate masking effect on the relationship between contractual stringency and the probability of winning the bet. In addition, investor confidence is only well aligned with future VAM performance under certain conditions. M&A events with high or low premiums indicate high uncertainty, such that the stock market overreacts during the M&A window and fails to correctly predict future performance.
These findings can help firms avoid valuation premium bias caused by overprotection, agency problems, and information asymmetry. Moreover, investors can use M&A premiums and VAM agreement details to mobilize positive emotions and enhance confidence.
|
|
Received: 22 February 2022
Published: 16 February 2023
|
|
|
|
|
| [1] |
陈东、陈爱贞和刘志彪,2021,《重大风险预期、企业投资与对冲机制》,《中国工业经济》第2期,第174～192页。
|
| [2] |
陈赟、沈艳和王靖一,2020,《重大突发公共卫生事件下的金融市场反应》,《金融研究》第6期,第20～39页。
|
| [3] |
高翀和孔德松,2020,《并购中的业绩承诺条款与股价崩盘风险》,《经济与管理研究》第7期,第77～93页。
|
| [4] |
葛伟杰、张秋生和张自巧,2014,《支付方式、融资约束与并购溢价研究》,《证券市场导报》第1期,第40～47页。
|
| [5] |
关静怡和刘娥平,2019,《业绩承诺增长率、并购溢价与股价崩盘风险》,《证券市场导报》第2期,第35～44页。
|
| [6] |
关静怡和刘娥平,2021,《股价高估、业绩承诺与业绩实现——基于上市公司对赌并购的经验证据》,《财经论丛》第7期,第68～78页。
|
| [7] |
黄福广、刘臻煊、李西文和邵艳,2022,《业绩承诺签订对新创企业战略变革的影响研究》,《管理学报》第5期,第646～655页。
|
| [8] |
黄浩、胡晓晓和高翔,2021,《关联交易、市场化进程与企业价值》,《统计与决策》第11期,第178～181页。
|
| [9] |
李旎、文晓云、郑国坚和胡志勇,2019,《并购交易中的信息传递机制研究——基于业绩承诺的视角》,《南方经济》第6期,第29～47页。
|
| [10] |
李玉辰和费一文,2013,《对赌协议的信号与反信号均衡》,《统计与决策》第14期,第50～55页。
|
| [11] |
刘建勇和周晓晓,2021,《并购业绩承诺、资产评估机构声誉与标的资产溢价——基于沪深A股上市公司的经验数据》,《工业技术经济》第1期,第151～160页。
|
| [12] |
刘子亚、张建平和裘丽,2015,《对赌协议在创业板的实践结果》,《技术经济与管理研究》第1期,第98～102页。
|
| [13] |
吕长江和韩慧博,2014,《业绩补偿承诺、协同效应与并购收益分配》,《审计与经济研究》第6期,第3～13页。
|
| [14] |
孟方琳、田增瑞和赵袁军,2018,《中国情境下创业投资运用对赌协议的风险防范研究》,《武汉金融》第12期,第60～65页。
|
| [15] |
聂秀华、江萍、郑晓佳和吴青,2021,《数字金融与区域技术创新水平研究》,《金融研究》第3期,第132～150页。
|
| [16] |
潘爱玲、邱金龙和杨洋,2017,《业绩补偿承诺对标的企业的激励效应研究——来自中小板和创业板上市公司的实证检验》,《会计研究》第3期,第46～52页。
|
| [17] |
温忠麟和叶宝娟,2014,《中介效应分析:方法和模型发展》,《心理科学进展》第5期,第731～745页。
|
| [18] |
吴九红和李爱庆,2010,《我国合伙制PE中GP与LP矛盾及其协调的博弈分析》,《中央财经大学学报》第2期,第60～64页。
|
| [19] |
杨超、谢志华和宋迪,2018,《业绩承诺协议设置、私募股权与上市公司并购绩效》,《南开管理评论》第6期,第198～209页。
|
| [20] |
杨威、宋敏和冯科,2018,《并购商誉、投资者过度反应与股价泡沫及崩盘》,《中国工业经济》第6期,第156～173页。
|
| [21] |
杨志强和曹鑫雨,2017,《业绩补偿承诺提高混合所有制改革的协同效应吗？——基于国有上市公司重大并购重组的经验证据》,《华东经济管理》第11期,第166～176页。
|
| [22] |
叶陈刚、崔婧和王莉婕,2018,《大股东资产评估操纵的影响因素研究——基于资产收购关联交易的实证检验》,《证券市场导报》第4期,第4～12页。
|
| [23] |
尹美群和吴博,2019,《业绩补偿承诺对信息不对称的缓解效应——来自中小板与创业板的经验研究》,《中央财经大学学报》第10期,第53～67页。
|
| [24] |
余玉苗和冉月,2020,《并购支付方式、目标方参与公司治理与业绩承诺实现》,《当代财经》第3期,第137～148页。
|
| [25] |
翟进步、李嘉辉和顾桢,2019,《并购重组业绩承诺推高资产估值了吗》,《会计研究》第6期,第35～42页。
|
| [26] |
翟淑萍、韩贤、张晓琳和陈曦,2022,《数字金融能降低企业债务违约风险吗》,《会计研究》第2期,第117～131页。
|
| [27] |
张晨和方领,2019,《并购溢价过高么？——基于我国A股155个并购事件的实证分析》,《金融与经济》第12期,第12～18页。
|
| [28] |
张敦力和张琴,2021,《并购类型、产权性质与承诺业绩增长率》,《财经论丛》第1期,第54～63页。
|
| [29] |
张继德、詹鑫、康佳婧和刘信,2019,《实体企业业绩承诺与金融风险的机制与防控研究——以天神娱乐为例》,《会计研究》第8期,第40～46页。
|
| [30] |
郑忱阳、刘超、江萍和刘园,2019,《自愿还是强制对赌？——基于证监会第109号令的准自然实验》,《国际金融研究》第5期,第87～96页。
|
| [31] |
Barbopoulos, Leonidas G., and Samer Adra. 2016. “The Earnout Structure Matters: Takeover Premia and Acquirer Gains in Earnout Financed M&As”, International Review of Financial Analysis, 45(3):283～294.
|
| [32] |
Capen, Edgar C., Robert V. Clapp, and William M. Campbell. 1971. “Competitive Bidding in High-Risk Situations”, Journal of Petroleum Technology, 23(6):641～653.
|
| [33] |
DeMarzo, Peter M., and Darrell Duffie. 1999. “A Liquidity-Based Model of Security Design”, Econometrica, 67(1): 65～99.
|
| [34] |
Lukas, Elmar, and Christian Heimann. 2014.“Technological-induced Information Asymmetry, M&As and Earnouts: Stock Market Evidence from Germany”, Applied Financial Economics, 24(7):481～493.
|
| [35] |
MacKinnon, David P., Jennifer L. Krull, and Chondra M. Lockwood. 2000. “Equivalence of the Mediation, Confounding and Suppression Effect”, Prevention Science, 1(4):173～181.
|
| [36] |
Oh, Chang H., and Jennifer Oetzel. 2011. “Multinationals' Response to Major Disasters: How Does Subsidiary Investment Vary in Response to the Type of Disaster and the Quality of Country Governance？”, Strategic Management Journal, 32(6):658～681.
|
| [37] |
Roll, Richard.1986. “The Hubris Hypothesis of Corporate Takeovers”, The Journal of Business, 59(2):197～216.
|
| [38] |
Rosenbaum, Paul R., and Donald B. Rubin. 1983. “The Central Role of the Propensity Score in Observational Studies for Causal Effects”, Biometrika, 70(1):41～55.
|
| [39] |
Shleifer, Andrei, and Robert W. Vishny. 1997. “A Survey of Corporate Governance”, The Journal of Finance, 52(2):737～783.
|
|
|
|
