第五章 結論與建議
第三節 後續研究建議
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第二節 研究限制
由於蒐集資料及實證分析過程中可能會受到外在因素限制，對本研究實證結果 產生影響：
(一) 樣本資料將因資訊揭露不足而被剔除，例如因部分購併交易金額未揭露，將難 以判定該交易是否對公司有重大影響，故未納入樣本資料；又或者是購併支付 工具資訊在資料庫中多有缺漏，可能在設計變數上面臨問題；此外在以市場模 型法計算主併公司累積異常報酬時，需考慮估計期間該樣本公司須有充足交易 資訊、未因重大事項導致暫停交易等，因此部份購併案件會因資訊不足而未納 入樣本，可能會對實證結果產生影響。
(二) 台灣購併交易案件樣本相對較少，因此較難針對產業等其他條件進行分組，做 差異化分析。
第三節 後續研究建議
針對本論文研究結果，對未來欲探討機構投資人交易與購併宣告效果關聯之研 究建議如下：
(一) 本論文採用一般最小平方法（Ordinary Least Squares，簡稱 OLS）做為市場模 型參數的推估，然而此模型乃基於誤差項期望值為 0、且誤差項為同質變異的 假設之下，若有異質變異效果（簡稱 ARCH 效果）時，可再使用一般化自身 迴歸異質條件變異數法（簡稱 GARCH 法）來估計市場模式參數，雖然國內學 者孫梅瑞(2000)指出以 OLS 估計組樣本及 OLS+GARCH 估計組樣本在異常報 酬率的計算上並無顯著差異，但後續學者亦可評估在 OLS 及 OLS+GARCH 方 法下研究結果，將兩者做為對照。
(二) 本論文主要分析購併宣告後累積異常報酬率反應，僅針對即期事件窗口進行評 估，降低其他外在事件影響報酬率表現的可能，然後續研究者可加入營運績效、
策略、動機等，或將中長期表現納入衡量，期以更全面性的角度衡量購併績效。
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(三) 若台灣日後可望提供如美國證券交易委員會要求提供之 13F 文件上所揭露資 訊，依照各機構投資人投資目的、持有期間及業務往來等特性分類，則後續研 究可進一步探討不同屬性機構投資人交易對持有標的之監督、影響程度，更準 確地瞭解各機構投資人交易是否均能隱含對投資標的公司經營團隊品質的認 證價值。
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參考文獻
(一) 國內文獻
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附表
附表 1：美國產業標準分類碼（SIC）對照表 主要產業分類碼
（SIC 前兩碼） 產業類別 主要產業分類碼
（SIC 前兩碼） 產業類別
01-09 農林漁牧業 50-51 批發業
10-14 礦產業 52-59 零售買賣業
15-17 建築業 60-67 金融保險及不動產業
20-39 製造業 70-89 服務業
40-49 運輸、交通、水電、
衛生業 91-97 政府部門
資料來源：SICCODE