金融工程研究报告：并购重组：如何高效投资？

Quantitative Factors and Construction Methods - Factor Name: Unlisted Asset Injection - Construction Idea: During periods of tightened IPO reviews, companies may prefer mergers and acquisitions (M&A) to inject unlisted high-quality assets into listed entities[1][37][41] - Construction Process: 1. Identify companies with terminated or withdrawn IPO reviews since 2022[41] 2. Filter companies sharing the same controlling shareholder or actual controller with listed companies[41] 3. Exclude cases where unlisted companies are already partially consolidated into listed companies' financials[41] 4. Prioritize matching by industry for multiple listed companies under the same controller; if no match, consider cross-industry M&A[41] 5. Exclude stocks with a quick ratio in the bottom 30% of all A-shares[41] - Evaluation: This factor effectively identifies potential M&A targets, leveraging regulatory and market dynamics[41] - Factor Name: Overcapacity Industry Integration - Construction Idea: In overcapacity industries, M&A can enhance industry concentration and profitability by consolidating upstream and downstream assets[47][51] - Construction Process: 1. Select industries with the lowest capacity utilization rates based on recent industrial data, focusing on traditional manufacturing sectors[48][51] 2. Identify top three market-cap leaders in each sub-industry within these sectors[51] 3. Filter companies with ROE in the bottom 30% of their five-year historical range[51] 4. Exclude stocks with a quick ratio in the bottom 30% of all A-shares[51] - Evaluation: This factor captures companies with strong incentives for M&A to address overcapacity and improve financial performance[51] - Factor Name: Long-term Undervalued Companies' Market Value Management - Construction Idea: Long-term undervalued companies with below-industry-average PB ratios may pursue M&A to enhance valuation under regulatory guidance[57][60] - Construction Process: 1. Identify companies with 12 consecutive months of PB below their industry average as of November 28, 2024[57][60] 2. Exclude stocks with a quick ratio in the bottom 30% of all A-shares[60] 3. Select the 20 stocks with the lowest PB ratios from the filtered list[60] - Evaluation: This factor aligns with regulatory trends and identifies companies with strong valuation improvement incentives[60] Factor Backtesting Results - Unlisted Asset Injection Factor: - Portfolio Return: 54.0% (September 24, 2024 - November 28, 2024)[42] - Excess Return over Wind All A Index: 25.2%[42] - Overcapacity Industry Integration Factor: - Portfolio Return: 43.5% (September 24, 2024 - November 28, 2024)[52] - Excess Return over Wind All A Index: 14.7%[52] - Long-term Undervalued Companies' Market Value Management Factor: - Portfolio Return: 33.1% (September 24, 2024 - November 28, 2024)[60] - Excess Return over Wind All A Index: 4.3%[60]