مواجهه با نرخ ارز و اثرات ارزیابی از ادغام مرزی

This study examines the relevance of exchange rate risk in the context of cross-border acquisitions. Using a sample of 156 foreign acquisitions of US firms, we find a reduction in exchange rate exposure following acquisition announcements. We also compare the valuation effects generated by a single-factor market model to those of a two-factor model that controls for the exchange rate effect. Our results show that, on average, abnormal returns generated by the two-factor model are significantly lower than those of the single-factor market model.

Previous studies that examine the valuation effects that accrue to acquirers upon announcement of cross-border acquisitions do not consistently find positive or negative valuation effects. Doukas and Travlos (1988) study US acquisitions of foreign firms and find the acquirers gain when they do not have established operations in the target firm's country. Morck and Yeung (1992) also find some evidence that US acquirers gain upon announcement of foreign acquisitions. Kang (1993) and Pettway et al. (1993) examine Japanese acquisitions of US firms and show positive gains for the acquirers. Eun et al. (1996) investigate foreign acquisitions of US firms and find the gains to the acquirers vary depending on the nationality of the acquirers. They show British acquirers experience significant losses, but Japanese acquirers experience significant gains. Cakici et al. (1996) analyze cross-border acquisitions and find foreign acquirers of US firms benefit more than US acquirers of foreign firms. Recently, Eckbo and Thorburn (2000) show foreign (US) acquirers of Canadian firms do not generate significant valuation effects. In a perfectly competitive market for cross-border acquisitions, the valuation effects for acquirers are expected to be insignificant. That is, if targets are fairly priced, acquisitions will have a net present value of zero and there will be no abnormal return (AR) to the acquiring firms.1 Although the evidence cited above seems to indicate that the market for cross-border acquisitions is not perfect, the methodology for quantifying the valuation effects may confound the assessment. In the context of cross-border acquisitions, this study proposes that an exchange rate factor be included in the model used to generate expected returns. By excluding exchange rate effects, the estimated ARs could misstate the valuation effects. The valuation effects in the aforementioned studies are typically estimated using a single-factor market model. However, an exchange rate factor is likely to be important in the context of assessing the impact of cross-border events on shareholder wealth. In a more general context, an increasing number of empirical studies support the importance of exchange rate risk due to its impact on cash flows and stock prices (e.g. Choi and Prasad, 1995, Chow et al., 1997, He and Ng, 1998, Miller and Reuer, 1998, Martin et al., 1999 and Shin and Soenen, 2000). In particular, Dumas and Solnik, 1995 and De Santis and Gérard, 1998 and Doukas et al. (1999) find that investors price foreign exchange risk and the premium charged varies with time. In addition, the latter two papers also find that the foreign exchange risk premium is a significant portion of the total premium that investors charge. Our study first highlights the relevance of exchange rate risk by investigating whether there are shifts in exposure following cross-border acquisition announcements.2 Consistent with our hypothesis, we find that, on average, there is an absolute reduction in foreign exchange exposure following the acquisition announcements. Moreover, firms characterized as either net exporters or net importers each experience a significant reduction in their exposure. Based on the studies noted above, we incorporate an exchange rate factor in the traditional market model to assess the valuation effects that arise from the cross-border acquisitions. Comparing our model's results to those of the single-factor market model, we show that, on average, the ARs generated using the two-factor model are significantly lower than those generated using the basic market model. Taken together, our results suggest that exchange rate risk is a significant influence in cross-border acquisitions, and as such, should be explicitly included when measuring announcement effects.

This study first emphasizes the relevance of exposure to exchange rate risk in the context of cross-border acquisitions by measuring the shift in exposure following the announcement of the acquisition. We hypothesize that foreign firms acquiring US firms are less exposed to exchange rate risk following the acquisition announcement. Table 3 summarizes the mean exchange rate exposure (β2) and shifts in exposure (β2*) that are estimated from Eq. (1). Panel A reports the results for the full sample where the world market return and the percent change in the trade-weighted value of the US dollar are used in the estimation model. Martin et al. (1999) argue that exposure may be more accurately assessed, thus more likely detected, by focusing on firms known to be involved with the specified currencies that comprise the exchange rate factor. Thus, Panel B reports the results for a subset containing only acquisitions conducted by European firms. In this subset analysis, European market returns and percent changes in the ECU value of the US dollar are used in the estimation model.Because UK firms conduct nearly half of the European-based acquisitions, we re-run our test using the MSCI Europe index and the ECU/USD rate for the non-UK firms and the UK market index and exchange rate for UK firms. Results are presented in Panel B of Table 4. As compared to the results in Panel B of Table 3, the most notable difference is that for European firms with a positive pre-acquisition exposure, β2* is of greater magnitude (0.2253) and is statistically significant at the 5% level. Overall, the results in Table 3 and Table 4 support the hypothesis that exchange rate exposure significantly declines for foreign firms acquiring US firms following the acquisition announcements. That is, regardless of whether foreign firms are net importers or net exporters, repositioning their operations has a significant impact on the firms’ economic exposure to foreign exchange risk. Therefore, this analysis highlights the relevance of exchange rate exposure and exposure shifts in the context of cross-border acquisitions. We next analyze the significance of exchange rate effects on the estimated ARs associated with foreign acquisitions of US firms. The ARs generated by a two-factor model that includes an exchange rate factor are compared to the ARs generated by the single factor market model that does not include an exchange rate factor. The objective of this assessment is to ascertain whether including an exchange rate factor in the estimation model significantly alters the estimated valuation effects. Table 5 summarizes the differences in estimated ARs. Panel A reports the results for the full sample where the world market return and percent change in trade-weighted value of the US dollar are used in the estimation model. Again, we report in Panel B the results for a subset containing only acquisitions conducted by European firms, where European market returns and percent changes in the ECU value of the US dollar are used in the estimation model.Using the full sample of 156 foreign acquisitions of US firms, the mean difference in ARs (−0.0017) is statistically significant at the 5% level. This result indicates that the ARs from the single-factor model are significantly greater than those ARs from the two-factor model, on average. We separate the full sample into two groups according to the ARs estimated using the single-factor model. The first group contains 81 acquirers that we estimated to have positive ARs using the single-factor model and the second group contains 75 firms with negative ARs. The mean difference in the estimated ARs (−0.0034) is found to be statistically significant at the 1% level only for the group of acquirers with positive ARs generated by the one-factor model. Thus, it appears that using a single-factor model overstates the valuation effects for this group of acquirers. However, the negative ARs generated from the single-factor market model do not appear to be significantly understated or overstated. The results of the comparison are also provided for the subset of acquisitions conducted by European firms (Panel B of Table 5). Analyses on this subset of acquirers reveal similar findings to those of the full sample. For the group of acquirers with positive ARs generated using the one-factor model, the mean difference in the estimated ARs (−0.1336) is statistically significant at the 1% level. Thus, there is further indication that valuation effects may be overstated when exchange rate effects are not considered. Panel A of Table 6 presents the AR results for the full sample excluding the Canadian acquirers. The results are comparable to those in Panel A of Table 5, with the single-factor model again overstating the valuation effects. In addition, note that for both the full sample and for acquirers with positive ARs using the single-factor model, the mean difference in the estimated ARs is relatively greater than the results in Panel A of Table 5. Finally, Panel B of Table 6 shows results for the European subset using the MSCI Europe index and the ECU/USD rate for the non-UK firms and the UK market index and exchange rate for UK firms. While the sign of the mean difference results are the same as those in Panel B of Table 5, none of the results are statistically significant.