本研究旨在探討 2002 年至 2013 年間臺灣上市櫃公司私募增資後長期股價累積異常報酬與公司成長機會之間的關聯,並以私募折(溢)價作為判斷私募增資公司未來成長潛力之訊號,將樣本公司分為兩組:折價發行與溢價發行公司。本研究採市場指數調整模式計算累積異常報酬,發現折價發行公司私募增資後三年累積異常報酬顯著為負,溢價發行公司則不具顯著性。接著,本研究進一步檢驗以下三種假說:實質資產投資、營收成長與盈餘預期過度樂觀。實證結果顯示,在全樣本與折價發行公司之子樣本中,實質資產投資比率、營收成長率皆與累積異常報酬呈顯著正相關,表示私募後投資增加較多,或者私募前營收狀況較穩健之公司,其長期股價累積異常報酬較佳。此外,本研究亦發現在全樣本迴歸中私募增資前一年累積異常報酬亦與私募增資後長期累積異常報酬則呈顯著負相關,顯示投資人普遍對於私募增資公司成長前景過於樂觀。
This paper examines the relationship between post-announcement long-term stock performance of private equity issuers in Taiwan and company’s growth opportunities. This paper uses degree of placement discount (premium) as a proxy variable of growth opportunities and divides sample into two groups, discount firms and premium firms. Our results indicates that discount firms experienced significant negative cumulative abnormal return following private equity announcement, while premium firms did not. This study further examines three hypotheses: investment in real assets, sales growth, and over-optimism about company’s future earnings. The empirical results show that investment ratio in real assets and sales growth were positively correlated with long-term cumulative abnormal return for discount subsamples. Furthermore, there was a statistically significant negative relationship between one-year pre-offering stock performance and post-announcement long-term cumulative abnormal return, which suggests that investors were overly optimistic about earnings prospect for private placement firms.