1. M&A size effect on wealth effect: A panel analysis for China security market Liyan Han, Xiaomeng Wang School of Economics and Management, Beihang University, Beijing, China

2. Introduction Wealth effects on shareholders of acquiring firms are not conclusive, with either zero or negative wealth effects for shareholders of acquiring firms around the announcement of M&As. Wealth effects on shareholders of acquiring firms are not conclusive, with either zero or negative wealth effects for shareholders of acquiring firms around the announcement of M&As. Size factors, especially relative size to be somewhat significant in explaining returns to bidding firms in the U.S. Size factors, especially relative size to be somewhat significant in explaining returns to bidding firms in the U.S.

3. Data: sources and sample Firms traded on the Shanghai Stock Exchange with the initial public announcement of acquisition in the period January 1, 2001 to December 31, 2003. Firms traded on the Shanghai Stock Exchange with the initial public announcement of acquisition in the period January 1, 2001 to December 31, 2003. All of the public announcements from 2001 to 2003 have been reviewed for all firms to ensure the preciseness of event dates and data related to the acquisitions. All of the public announcements from 2001 to 2003 have been reviewed for all firms to ensure the preciseness of event dates and data related to the acquisitions.

4. Event Study Analysis ARs are obviously positive nine days before the announcement while ARs over the period t =0 to t = -8 are obviously negative. ARs are obviously positive nine days before the announcement while ARs over the period t =0 to t = -8 are obviously negative.

5. Size factors Select six methods to measure size, that is, absolute size factors including value of the acquisition and the logarithm of it, market value of equity of the acquiring firm and the logarithm of it, and relative size factors consisting of the ratio of target to acquirer and the logarithm of it. Select six methods to measure size, that is, absolute size factors including value of the acquisition and the logarithm of it, market value of equity of the acquiring firm and the logarithm of it, and relative size factors consisting of the ratio of target to acquirer and the logarithm of it.

6. Results of univariate regressions The cumulated abnormal returns are all positive related with the six size variables respectively and the relation is statistically significant. The parameter of the ratio of target to acquirer is 0.969, which is the largest in all parameters of size variables. The cumulated abnormal returns are all positive related with the six size variables respectively and the relation is statistically significant. The parameter of the ratio of target to acquirer is 0.969, which is the largest in all parameters of size variables.

7. Results of panel analysis-1 Methods of payment: There are positive relationships between CARs and size variables, although part of them are insignificant at conventional levels. Methods of payment: There are positive relationships between CARs and size variables, although part of them are insignificant at conventional levels. C cash > C stock > C combination C cash > C stock > C combination Industry: LNVAL, LNMVE, and LNRBV have positive relationships with the CARs. Industry: LNVAL, LNMVE, and LNRBV have positive relationships with the CARs. C traditional manufactering >0 C traditional manufactering >0

8. Results of panel analysis-2 Equity ownership structure: Size factors positively affect CARs. C state-uncontrolled >0> C state-controlled Equity ownership structure: Size factors positively affect CARs. C state-uncontrolled >0> C state-controlled Regulation of CSRC: Size factors positively affect CARs. C before > C after Regulation of CSRC: Size factors positively affect CARs. C before > C after