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Institutional investors, overseas M&A and shareholder wealth: evidence from the Chinese stock market.

1. Introduction

Cross-border M&A is a method for the enterprise to grow fastest when the market economy develops into a certain stage. After 2000, under the guidance of 'going out' strategy, the overseas M&A by Chinese enterprises have got a qualitative leap no matter on the scale or the number. According to the data from Zero2IPO Group, it shows that the trading volume of the overseas M&A conducted by Chinese enterprises from 2000 to 2010 increased to 28.1 billion dollars from 470 million dollars; the average compound growth rate reached 45%. In 2013, our country issued "Driving the Vision and Action of Jointly Developing a Silk Road Economic Belt and a 21-century Maritime Silk Road". Under such background, more Chinese enterprises speeded up the pace of overseas M&A to realize the "going out" strategy. In 2014, the gross trading amount of the overseas M&A by Chinese enterprises increased to 56.9 billion dollars. In 2015, the overseas trading amount of Chinese enterprises reached 111.9 billion dollars which firstly broke through 100 billion dollars and created a new high in history. Hainan Airlines Group successfully wholly acquired Swissport Company, the largest air-ground service and freight transport supplier in the world, at the price of 17.5 billion dollars, which improved its air service in the international market. It firstly stepped into Fortune 500 companies and became the example for overseas M&A of Chinese enterprises centering on "One Belt and One Road" layout in advance.

However, according to the report recently published by BCG, though the momentum of overseas M&A by Chinese enterprises is very strong, the completion rate of overseas M&A by Chinese sellers doesn't reach 70%. Even though the overseas M&A are completed, only 30% of M&A by large-scale enterprises can create values, which is far lower than the foreign enterprises' completion rate of 50%. How to improve the performance of overseas M&A by Chinese enterprises? What are the main influencing factors? The scholars try to do analysis from the angles of international experience, cultural distance, corporate value, the relative scale, geographical distance, exchange rate, payment, concentration ratio, legal system, nature of the target enterprise, financial situation, policy supporting degree, etc. There are few domestic scholars analyzing the shareholder wealth of overseas M&A companies from the aspect of institutional investor. In this article, it selected 541 overseas M&A events from 2006 to 2013 in China to analyze the influence on the wealth of overseas M&A enterprise from the holding shares of institutional investors, the fluctuation of shareholding ratio, and the heterogeneity. In this article, on the basis of existing research literatures, it did improvements below: (1) Selecting the fluctuation of shareholding ratio instead of simple shareholding ratio can more directly reflect the emotion and choice preference of institutional investors; (2) Classifying the institutional investors in details and investigating the diversity of different categories of institutional investors exerting functions, which is different from the general analysis before and makes the research result full of guiding significance. 2

2. Literature Review and Research Hypothesis

Along with that the team of institutional investors constantly grows, the ratio of the corporate shares they hold is continuously increasing. According to statistics, on March 2015, the ratio of shares hold by Chinese institutional investors has reached 40%; they have become one of important strengths in the stock market. Taking into consideration of self-interest, more and more institutional investors participated in the corporate governance. At present, the domestic and foreign scholars don't get a consistent view on the study result about the relation between the institutional investors and shareholder wealth. After studying different samples, Del Guercio (1999), Gillan (2000), Starks et al. (2000) didn't find that the enterprises on the focus list of institutional investment commission presented to be positive in the market, and even didn't find the obvious relevance. Karpoff (2013) did a study on the shareholder wealth of companies that the institutional put forward the proposal of corporate governance, and found that the shareholder wealth nearly didn't change. More scholars found that the shareholders would actively participated in the action of corporate governance for their own benefits through the methods such as utilizing voting right and submitting proposals to improve the corporate governance status and increase shareholder wealth. Through studying the annual investment portfolio reports from 1981 to 2002, Murat Binay (2005) found that the institutional investors could well manage their customers' assets and bring excessive values for their companies. Mitsuru Mizuno (2010) collected samples of 189 Japanese listed companies from 2004 to 2007. After study, it is found that the institutional investors in Japan greatly improved the corporate governance level since 2000, and the long-term value of company was also substantially improved. Peng Ding (2013) utilized the data of companies listed on Shenzhen Stock Exchange from 2005 to 2008 in the study, and found that it presents to be a "U-shaped" curvilinear relation between the holding shares of the institutional investors in the state-owned company and the corporate performance, but in the non-state-owned company, it presents to be a positive linear relation between the holding shares of institutional investors and the corporate performance. However, in the studies of Bo Xianhui and Wu Liansheng (2009), it shows that along with that the ratio of shares hold by the institutional investors constantly increase, the surplus management level of non-state-owned company is obviously declining. Lu Hui, et al. (2012) took the companies listed in the Shenzhen and Shanghai A-share markets from 2007 to 2010 for examples and adopted the structural equation model in the study. It is discovered that the institutional investors participating in corporate governance can't directly promote the corporate performance, and the institutional investors is very likely to play a positive role and also a negative role. While another part of scholars found that an obvious positive relation exists between the institutional investors and shareholder wealth. YJ Tang and YY Song (2010) utilized the data from 2003 to 2007 in China as the sample in the study, and found that the institutional investors in China participating in corporate governance improved the corporate performance. In the study, Li Weian and Li Bin (2008) found that the institutional investors can lower the agency cost of listed company, and that it presents to be a positive relation between the ratio of shares hold by institutional investors and the market value. Lu hui, Xiao Jing Zhang wei (2012) utilized the data from 2007 to 2010 in China, the results show that Asset Management Association of China would choose the company with excellent accounting performance and play a role in improving the accounting performance of company. Yuan Rong et al. (2010) test the impact of institutional ownership by investment banks and mutual funds on firm performance in China using a sample of 1104 publicly listed companies for the period of 2001-2003.They find that equity ownership by mutual funds has a positive in pact on firm performance. Thus, the following assumptions were put forward in this article:

Assumption 1: Positive Correlation between the Holding shares of institutional Investors and the Shareholder Wealth of Overseas M&A Company

From the analysis above, we can see that the domestic scholars didn't reach a consensus on that the institutional investors can bring positive wealth to the shareholders of enterprises. Most studies all are based on the angle of the holding shares of institutional investors and didn't further analyze the influence on the shareholder wealth by the changes of shares hold institutional investors. In theory, comparing with individual shareholders, the ratio of shares hold by institutional investors is higher. Thus, that the institutional investors announce to sell or purchase the stock of that enterprise in the overseas M&A event will transmit different information to the stockholders in the security market. That is, when the institutional investors think highly of the future development of an overseas M&A enterprise, they will purchase the stocks of that enterprise. On the contrary, when they don't think highly of the future development of an overseas M&A enterprise, they will sell the stocks of that enterprise. This kind of investment preference will be transmitted to the individual investors through the institutional investors. It will consequently influence the emotion of investors and affect the stock price, and finally influence the wealth of shareholders in the overseas M&A enterprise. Gabaix (2006) thought that the transactions conducted by a large number of institutional investors would lead to the fluctuation of stock price. In the study by Greenwood (2009), it shows that the young fund manager prefer "selling into corrections". Comparing with the senior fund manager, when it is predicated that a slumping point will appear in the stock market, his herb behavior is more obvious, which encourages the fluctuation of stock market. Through study, Yao Dequan, et al. (2010) found that it presents to be a negative correlation between the emotional fluctuation of institutional investors and the returns of stock, which shows that the Chinese institutional investors also have irrational transaction behaviors. It further confirmed that the "risk compensation" effect exists in our stock market.

Assumption 2: Negative Correlation between the Variable Ratios of Shares Hold by Institutional Investors and the Shareholder Wealth of Overseas M&A Enterprise.

3. Research Design

3.1 Assessment on the Shareholder Wealth of Overseas M&A Enterprise

3.1.1 Screening of Overseas M&A Samples

In this article, we selected all overseas M&A events occurred in Shenzhen and Shanghai from January 1, 2006 to December 31, 2013. All the data mainly come from the RESSER financial research database system developed by Beijing RESSET Technology Co., Ltd., and the CSMAR series of research database system developed by Shenzhen GTA Information Technology Co., Ltd. (GTA) according to the standards (CRSP & COMPUSTAT) for international database. On this basis, it screened the data according to the research needs. The data that don't meet the following screening conditions will be eliminated: (1) the M&A announcement event is complete; (2) the overseas acquiring company (acquiring party) is a listed company; (3) the registration place of the overseas M&A targeting enterprise is in the People's Republic of China; (4) considering the particularity of financial enterprise, only keep the samples of non-financial enterprises; (5) if the M&A events occurred in the same one enterprise, the time interval for acquisition shall exceed over 3 months, or they would be deemed as the same one M&A event; (6) delete the unsuccessful overseas M&A events and only keep the successful M&A samples. Through screening, we got 541 effective overseas M&A sample events in total. Table 1 is about the annual distribution status of the overseas M&A events by Chinese enterprises.

3.1.2 Event Study Framework

In this article, it studied the shareholder wealth of Chinese M&A companies with the event method frequently used by the foreign scholars, and selected the first official announcement of overseas M&A as the event, that is, treating the first announcement day as the zero day. The window phrase generally selected in the foreign classical documents is between 5 days before announcement date and 5 days after announcement date. However, considering the announcement information in Chinese stock market may be leaked in advance, and the speed of digesting the overseas M&A information including stock price obviously falls behind the mature markets of American and European developed countries. Therefore, in this article, it would extend the window phrase of event, and select the period from 20 trading days before the first announcement day to 20 trading days after the first announcement day as the window phrase to more rationally evaluate the market's reaction to the overseas M&A events. On this basis, it selected six window phrases which separately are [-1, 1], [-5, 5], [-10, 10], [-20, 20], [2,20] and [-20, -1], and selected [-120, -21] as the clean period. After the estimation on the sample stock of each enterprise, it got [[alpha].sub.i] and [[beta].sub.i]. The detailed steps are as follows:

Firstly, calculate the daily excess return rate with the formula below:

[AR.sub.it] = [R.sub.it] - E([R.sub.it]) (1)

In the formula (1), [AR.sub.it] indicates the excess return rate of stock i on the day t; [R.sub.it] indicates the actual return rate of stock i on the day t; E([R.sub.it]) indicates the normal return rate of stock i on the day t.

E ([R.sub.it]) = [[alpha].sub.i] + [[beta].sub.i] [R.sub.mt] (2)

In the formula (2), [R.sub.mt] indicates the return rate in market index.

According to the formula (1), add the excess returns of stock i in each day during the overseas M&A event period. The accumulative long-term returns of stock i in the normal trading days during the period of [T1, T2] can be calculated with the formula below:

[CAR.sub.it] = [[T.sub.2].summation over t = [T.sub.1]] [AR.sub.it] (3)

And then, calculate the average long-term returns and average accumulative excess returns occurred during the overseas M&A event period of all sample companies. As the stock returns of a single company may be disturbed by the other events that are not overseas M&A events. In this article, it did de-noising processing to better eliminate the interference by adopting the data of large-number companies to get the average value.

The daily average excess returns of Portfolio P of N equal-weight stocks on the day t:

[AAR.sub.pt] = 1/N [N.summation over (i=1)] [AR.sub.it] (4)

The average accumulative excess returns of Portfolio P of N equal-weight stocks in the period of [T1, T2]:

[CAR.sub.Pt] = [[T.sub.2].summation over (t = [T.sub.1])] [AAR.sub.pt] (5)

3.1.3 Results of CAR

From Table 2 we can see, the average value before the overseas M&A announcement day is positive; the average value before the overseas M&A announcement day is negative. The CAR value in the short period [-1, 1] and [-5, 5] is positive. Along with the extending of window phrase, CAR value gradually declines. When the window phrase is [-10, 10], the CAR value turns to be negative; when the window phrase increases to [-20, 20], CAR value becomes smaller. On the whole, it can bring wealth for the shareholders in the short period before and after the overseas M&A announcement day. But as time goes on, this kind of influence will gradually weaken, and bring loss to the wealth of shareholders.

In order to further explain the tendency of CAR changes, Figure 1 is an overall tendency chart of CAR and AAR in 41 days in the window phrase [-20, 20]. From the Figure 1, it can be seen that the CAR value in the overseas M&A enterprise always presents to be in a declining tendency. It goes down to the lowest value on the sixth day before the overseas M&A announcement day, and then goes up and reaches the peak value on the second day after the overseas M&A announcement day, and then presents to be in a declining tendency on the third day after overseas M&A announcement day. From the overall tendency, CAR value obviously presents to be in a "N" shape, which shows that the "abnormal returns" do exist in the acquiring enterprise before and after the enterprise announces the overseas M&A events, that is, the shareholder wealth of acquiring enterprise has "abnormal transactions".

The scholars thought that in aspect of participating in corporate governance, a part of institutional investors mainly enter or quit enterprises with the method of "voting by feet" in the short period. They will not involve into the corporate governance or decision making of the invested enterprises. At this time, the institutional investors play a role of "value selector". However, the past analysis generally focused on the holding shares of institutional investors, and ignored the influence on the corporate performance by the changes of shares hold by institutional investors. In order to further investigate the influence on the shareholder wealth of the overseas M&A enterprise by the investment preference and investment behaviors of institutional investors, we treat the fluctuation range of shareholding ratio among institutional investors as the basis for classification. For the shareholding company of the institutional investors whose changes of shares are bigger than median (including equal to), index1=1; for the shareholding company of the institutional

investors whose changes of shares are less than median, index1=0. Through analysis in Figure 2, it can be seen that a negative influence exists between the overall changes of shares hold by the institutional investors and the shareholder wealth of overseas M&A enterprise. In other words, the bigger the changes of shares hold by the institutional investors are, the smaller the effect of shareholder wealth in its overseas M&A enterprise will be. On the contrary, when the changes of shares hold by the institutional investors are lower, the effect of shareholder wealth in its overseas M&A enterprise will be bigger.

Next, we will see if the fluctuation of shareholding ratio among heterogeneous institutional investors will also produce an effect on the shareholder wealth of overseas M&A enterprise or not. Same as above, we still divide the institutional investors into pressure resistant type and pressure sensitive type according to the different natures of institutional investors. In this article, it firstly treated the fluctuation of shareholding ratio among pressure sensitive institutional investors as the basis for classification. For the shareholding company of the institutional investors whose fluctuation of shareholding ratio is bigger than median (including equal to), index2=1; for the shareholding company of the institutional investors whose fluctuation of shareholding ratio is less than median, index3=0. Through analysis in Figure 3, it can be seen that a negative relation exists between the fluctuation of shareholding ratio among pressure sensitive institutional investors and the shareholder wealth of overseas M&A enterprise. That is, the bigger the fluctuation of shareholding ratio among the pressure sensitive institutional investors is, the smaller the effect of shareholder wealth in its overseas M&A enterprise will be. On the contrary, when the fluctuation of shareholding ratio among the pressure sensitive institutional investors is smaller, the effect of shareholder wealth in its overseas M&A enterprise will be higher. Similarly, we treated the fluctuation of shareholding ratio among pressure resistant institutional investors as the basis for classification. For the shareholding company of the institutional investors whose fluctuation of shareholding ratio is bigger than median (including equal to), index4=1; for the shareholding company of the institutional investors whose fluctuation of shareholding ratio is less than median, index4=0. Through analysis in Figure 4, it is not hard to find that a positive relation exists between the fluctuation of shareholding ratio among pressure resistant institutional investors and the shareholder wealth of overseas M&A enterprise, which is in contrast with the relation between the fluctuation of shareholding ratio among pressure sensitive institutional investors and the shareholder wealth of overseas M&A enterprise. In other words, the bigger fluctuation of shareholding ratio among the pressure resistant institutional investors, the higher effect of shareholder wealth. On the contrary, when the fluctuation of shareholding ratio among the pressure resistant institutional investors is smaller, the effect of shareholder wealth in its overseas M&A enterprise will be lower.

3.2. Selection of Regression Models and Variables

Actually, the value of corporate value may be the results of many reasons. The cross-border M&A involves different countries and areas. Factors such as different economic and legal backgrounds, cultural diversity, value of the enterprise itself, governance structure of enterprise and financial situations all will bring different influences on the shareholders of cross-border M&A enterprises. In this article, it controlled these factors to make the results more reliable. According to the past empirical studies, the relevant variables mainly include total assets, net asset value per share, Tobin Q value, ROA, return on asset, net cash flow of each share activity, asset-liability ratio, tangible asset-liability ratio, the shareholding ratio of the first major shareholder, the shareholding ratios of the top 5 shareholder, national shareholding ratio, etc.

Description: (i) t means the quarter of Overseas M&A announcement;t-i means before quarter of Overseas M&A announcement

2. Values of all control variables are obtained from the value at the end of last year of listed company overseas M&A announcement.

4. Empirical Results

4.1 The Relation between the Shareholding of Institutional Investors and the Shareholder Wealth of Overseas M&A Enterprise

In this article, it adopted multiple regression models to study the relation between the shareholding of institutional investors and the shareholder wealth of overseas M&A enterprise. The calculated results are seen in Table 3. From Table 3, we can see that among 6 models, the minimum goodness-of-fit value R2 is 0.275; the maximum goodness-of-fit value R2 reaches 0.604. In the cross-section data model, the results are considered to be good. It shows that the variables are properly selected. From the calculated results, apart from that the values in the window phrase [-5, 5] are negative, the relation between the shareholding of institutional investors and the shareholder wealth of overseas M&A enterprise is positive. Along with the extension of window phrase, this kind of positive influence is obvious, which further confirms the Assumption 1. In other words, in a certain period (generally a short period), the more the shares hold by the institutional investors is, the bigger the effect of shareholder wealth in the overseas M&A enterprise will be. On the contrary, the smaller the shareholding ratio of institutional investors is, the smaller the effect of shareholder wealth in the overseas M&A enterprise will be. Besides, an obvious negative correlation exists between the shareholder wealth of overseas M&A enterprise and the ROA value at the end of one year before the announcement day for overseas M&A. It shows that the higher the ROA value is one year before acquiring the overseas company, the smaller the short-term shareholder wealth of overseas M&A will be. On the contrary, the lower the ROA value is one year before acquiring the overseas company, the higher the short-term shareholder wealth of overseas M&A will be. From the results in Table 3, it can also be seen that the influence on the shareholder wealth of overseas M&A by the scale of company (LNA) is positive, while the relation between the debt ratio of tangible assets (TAL) and the shareholder wealth of overseas M&A is negative. It didn't get a consistent conclusion about the influence on the shareholder wealth of overseas M&A enterprise by the Tobin Q value.

4.2 The Relation between the Fluctuations of Shares Hold by Institutional Investors and the Shareholder Wealth of Overseas M&A Enterprise

In order to further verify the influence on the shareholder wealth of overseas M&A enterprise by the fluctuations of shares hold by the institutional investors, in this article, it adopted multiple regression models to study the relation between the fluctuations of shares hold by the institutional investors and the shareholder wealth of overseas M&A enterprise. The calculated results are seen in Table 4. From the results, we can see that the relation between the fluctuations of shares hold by institutional investors and the shareholder wealth of overseas M&A enterprise is negative, and this kind of negative influence is obvious. In other words, in a certain period (generally a short period), the more the fluctuations of shares hold by the institutional investors are, the smaller the effect of shareholder wealth in the overseas M&A enterprise will be. On the contrary, the smaller the fluctuations of shares hold by the institutional investors are, the bigger the effect of shareholder wealth in the overseas M&A enterprise will be. This result confirms the conclusions of Fisher and Statman (2006). If the fluctuation of shareholding ratio is regarded as the emotional expression of the institutional investors, it shows that the emotion of Chinese institutional investors obviously influenced the shareholder wealth of overseas M&A enterprise, and this kind of influence is negative. At the same time, it indicates that a "risk compensation" effect exists in Chinese security market. However, in the process of doing study aiming at the heterogeneous institutional investors, it was not found that any influence on the shareholder wealth of overseas M&A enterprise by the pressure sensitive institutional investors and the pressure resistant institutional investors exists, namely, the "risk compensation effect" doesn't exist.

5. Conclusion

In this article, it analyzed the effect of shareholder wealth in the Chinese M&A enterprise from the angle of institutional investors, and selected 541 overseas M&A events occurred in Shenzhen and Shanghai from 2006 to 2013 as the samples to conduct empirical study, and got following conclusions.

1. The influence on the shareholder wealth of overseas M&A enterprise by the shareholding ratio of the institutional investors is positive, and along with the extension of window phrase, this kind of influence is more obvious and tends to be accelerated. It shows that Chinese institutional investors are actively participating in the corporate governance and gradually playing a more and more important role, and this kind of influence is positive.

2. The relation between the fluctuation of shareholding ratio among Chinese institutional investors and the shareholder wealth of overseas M&A enterprise is negative. It indicates that a "risk compensation" effect exists in the Chinese stock market.

3. The heterogeneity of institutional investors has a certain influence on the shareholder wealth of overseas M&A enterprise, while the shareholding ratio of the pressure resistant institutional investors weakens the effect of shareholder wealth in the overseas M&A enterprise. However, the fluctuation of the shareholding ratio among the pressure sensitive institutional investors weakens the effect of shareholder wealth in the overseas M&A enterprise; the fluctuation of the shareholding ratio among the pressure resistant institutional investors strengthens the effect of shareholder wealth in the overseas M&A enterprise.

Recebido/Submission: 16/05/2016

Aceitacao/Acceptance: 05/08/2016

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Yuanyan Peng (1,2) *, Xiaofeng Hui (1)

* Yuanyan Peng, pengyunyan2016@163.com

(1) Harbin Institute of Technology, Harbin 150001, China

(2) Heilongjiang University of Science and Technology, Harbin 150027, China

Table 1--Distribution of Overseas M&A

Year    Number     Percent    Industry         Number     Percent
        of         of         Classification   of         of
        Overseas   Overseas                    Overseas   Overseas
        M&A        M&A                         M&A        M&A

2006    17         3-14       Construction     40         7.39
2007    34         6.28       Industrail       377        69.68
                                machinery
2008    66         12.20      Utilities        76         14.05
2009    41         7.58       Business         28         5.18
2010    67         12.38      Others           20         3.70
2011    87         16.09      Total            541        100
2012    118        21.81
2013    111        20.52
Total   541        100

Table 2--Characteristics of CAR of Overseas M&A

Variable      N     Mean       Median    Mix      Max     Sd

CAR[-20,-2]   541   0.000670   0.0138    -11.83   0.600   0.529
CAR[2,20]     541   -0.0178    0.0154    -19.02   0.576   0.832
CAR[-1,1]     541   0.00887    0.00567   -1.689   0.251   0.0934
CAR[-5,5]     541   0.00324    0.00985   -8.690   0.587   0.387
CAR[-10,10]   541   -0.0136    0.0185    -18.78   0.541   0.819
CAR[-20,20]   541   -0.0291    0.0268    -28.93   0.759   1.263

Table 2--Variable definition table

Variable    Variable Description

Observed variables

INS        Total shares held by institutional investor/
           common share quantity

SEN        Total shares held by pressure sensitive
           institutional investor/common share quantity

RES        Total shares held by pressure resistance
           institutional investor/common share quantity

CINS       (Total shares held by institutional investor/
           common share quantity) t-(Total shares held by
           institutional investor/ common share quantity)
           t-i

CSEN       (Total shares held by pressure-sensitive
           institutional investor /common share quantity)
           t-(Total shares held by pressure-sensitive
           institutional investor /common share quantity)
           t-i

CRES       (Total shares held by pressure-resistance
           institutional investor/common share quantity)
           t-(Total shares held by pressure-resistance
           institutional investor/common share quantity)
           t-i

Control variable

TQ         Enterprise market value/total assets

ROA        Net income/total assets

INV        EBIT(1 - income tax)/invested capital

LNA        Ln Total assets

NAPS       Shareholders' equity/Total equity

CAF        Investment activity cash flow per share

ALI        Total liabilities/Total assets

TAL        Total tangible assets/Total liabilities

FS         Total shares held by the first largest
           shareholder/Common share quantity

H5         Herfindahl index of the five largest
           shareholders

STA        National shareholding ratio

Table 3--Influence of Institutional Investors holding on Overseas
M&A Shareholders

           Model (1)     Model (2)     Model (3)      Model (4)

Variable   CAR[-1,1]    CAR[-5,5]    CAR[-10,10]   CAR[-20,-1]

INS        0.000881     -0.00105     0.0236 **     0.0187 **
           (0.62)       (-0.18)      (1.98)        (2.27)
INV        0.0758 ***
           (20.54)
ROA        -0.0670 **   -2.516 ***   -5.557 ***    -3.523 ***
           (-2.06)      (-20.44)     (-22.93)      (-21.00)
TQ         -0.00644 *   0.0500 ***
           (-1.93)      (2.93)
LNA                     0.0192 *     0.104 ***     0.0632 ***
                        (1.73)       (4.94)        (4.34)
TAL                                  -1.481 ***    -0.931 ***
                                     (-12.09)      (-10.97)
CONS       0.0149       -0.321       -1.388 ***    -0.847 ***
           (1.49)       (-1.34)      (-3.20)       (-2.82)
N          541          541          541           541
R2         0.604        0.441        0.506         0.433
chi2       840.0        427.1        640.3         533.6

           Model (5)     Model (6)

Variable   CAR[2,20]    CAR[-20,20]

INS        0.0417 **    0.0664 **
           (2.16)       (2.23)
INV

ROA        -5.706 ***   -8.702 ***
           (-19.47)     (-19.24)
TQ

LNA

TAL        -1.368 ***   -2.065 ***
           (-8.96)      (-8.77)
CONS       0.723 ***    1.069 ***
           (5.29)       (5.07)
N          541          541
R2         0.299        0.275
chi2       429.4        417.4

z statistics in parentheses, * p < 0.1, ** p < 0.05, *** p < 0.01

Table 4--Influence of Changes of Institutional Investors holding on
Overseas M&A Shareholders

           Model (1)     Model (2)    Model (3)     Model (4)
Variable   CAR[-1,1]     CAR[-5,5]    CAR[-10,10]   CAR[-20,-1]

CINS       -0.00463 **   -0.0173 **   -0.0525 ***   -0.0251 **
           (-1.98)       (-2.27)      (-3.16)       (-2.15)
ROA        -0.517 ***    -2.587 ***   -5.608 ***    -3.524 ***
           (-13.90)      (-19.34)     (-17.21)      (-19.24)
LNA        0.00691 **    0.0452 ***                 0.0604 ***
           (2.10)        (3.61)                     (3.71)
TAL        -0.134 ***    -0.693 ***   -1.375 ***    -0.950 ***
           (-6.96)       (-10.02)     (-8.24)       (-9.99)
TQ                       0.00977      -0.0188
                         (0.49)       (-0.42)
CONS       -0.0784       -0.630 **    0.680 ***     -0.821 **
           (-1.17)       (-2.37)      (5.63)        (-2.49)
N          541           541          541           541
R2         0.108         0.344        0.129         0.326
chi2       228.3         466.1        353.6         448.1

           Model (5)    Model (6)
Variable   CAR[2,20]    CAR[-20,20]

CINS       -0.0347 **   -0.0555 **
           (-2.22)      (-2.31)
ROA        -5.681 ***   -8.658 ***
           (-20.82)     (-20.59)
LNA        0.107 ***    0.161 ***
           (4.20)       (4.10)
TAL        -1.556 ***   -2.350 ***
           (-11.02)     (-10.80)
TQ         0.0417       0.0590
           (1.02)       (0.94)
CONS       -1.579 ***   -2.386 ***
           (-2.91)      (-2.86)
N          541          541
R2         0.408        0.390
chi2       545.2        531.2

z statistics in parentheses, * p < 0.1, ** p < 0.05, *** p < 0.01
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Author:Peng, Yuanyan; Hui, Xiaofeng
Publication:RISTI (Revista Iberica de Sistemas e Tecnologias de Informacao)
Date:Nov 1, 2016
Words:5617
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