私募股權訂價與閉鎖期結束之異常報酬探討

A Study on the Pricing of Private Equity Placement and the Abnormal Return of Lock-up Expiration

張木彥(Mu-Yen Chang)

指導教授 ： 陳達新

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2008年)

摘要

本文之研究分為二部份，第一部份係以民國95年1月1日至97年2月29日辦理私募股權之186個樣本(153家)的上市上櫃公司作為研究對象，以事件研究法驗證其私募訂價宣告時是否存在異常報酬；第二部份則以95年1月1日至97年2月29日私募股權在閉鎖期結束後辦理掛牌交易前之宣告的30個(27家)上市上櫃公司為研究樣本，同樣以事件研究法檢驗其股票是否存在有異常報酬。研究結果發現如下：
一、私募訂價宣告日前後皆有顯著的正向平均異常報酬，且事件日之後亦存在顯著之正向累計平均異常報酬。
二、不同交易市場之私募訂價宣告效果有所不同，其中在上櫃交易市場的公司其私募訂價宣告後對股價造成異常報酬之情形較為顯著，且就其影響強度而言，上櫃市場較上市市場為大。
三、電子類股與非電子類股之私募訂價宣告效果有所不同，其中非電子類股其私募訂價宣告後對股價造成異常報酬之情形較為顯著，且就其影響強度而言，非電子類股較電子類股為大。
四、私募股權閉鎖期結束後掛牌交易前的宣告，在宣告日前後的第二天皆有顯著負的平均異常報酬，分別為-0.4485%及-0.3659%，表示在私募股權閉鎖期結束後，宣告掛牌之宣告日附近具有顯著的負向異常報酬。

關鍵字

私募股權、異常報酬、事件研究法、閉鎖期

並列摘要

This study discusses whether the abnormal return may exist in the private equity placement. The discussion was divided into two parts. Firstly, 186 samples were collected in our dataset from 153 listed companies which ever issued private equity placement in the period of Jan/1/2006-Feb/29/2008. Methodology of “Event study” is used to testify if the abnormal return exists when the offering price is announced. Secondly, 30 samples were gathered from 27 listed companies which ever made private equity placement in the period of Jan/1/2006-Feb/29/2008 and announced to go public after lock-up period. Furthermore, same methodology were used to determine the existence of abnormal return on these companies. We find that：
1. Our results show that strongly positive abnormal return does exist after the offering price of private placement announced. Even after the date of the announcement, there is an obviously positive cumulative abnormal return.
2. Reactions to the announcements of private equity placement will differ from Stock exchange markets. The cumulative abnormal returns for firms in Over-the-Counter market are stronger than those firms in TSE.
3. Reactions to the announcements of private equity placement will differ from industries. The cumulative abnormal returns for firms in non-electronic industry are larger than those firms in electronic industry. And announcement effect in non-electronic industry are obvious than electronic industry.
4. One day before or after the private equity placement listed on TSE and OTC there were -0.4485% and -0.3659% obviously negative abnormal returns after the lock-up period.

並列關鍵字

Private Equity Placement, Abnormal Returns, Event Study, Lock-up Period

參考文獻

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