本研究主要探討在資訊不對稱的情形下,公司私募期間前後是否會發生股價異常變動情形,亦即公司內部人或關係人因於私募宣告前率先得知訊息,是否會藉由股價的波動進行套利獲取價差。本研究實證發現,於私募宣告前股價出現顯著的上漲波段,並隨著宣告日的接近而漲勢漸緩。本研究亦採取企業評價模式,分析公司實質股價與累積異常報酬之關聯性。 本研究實證結果顯示,應募人投資動機、每股淨值與累積平均異常報酬率間都呈顯著正相關;每股盈餘、董監持股變動、價格帳面價值比法差異與累積平均異常報酬率間都呈顯著負相關;而應募人類型、應募人數量、董監持股比、本益比法差異、價格銷售比法差異則不會對累積平均異常報酬率產生影響。
This paper delves into the case of asymmetric information, whether there will be abnormal movements of stock price when the insiders obtain the private informations ahead of the announcements of private placement, and then the insiders can carry out arbitrage and earn the price margin by the abnormal movements of stock price. The empirical results indicate that there has been a significant rise in the stock price before the announcements of private placement, and the gains gradually slowed with close to the day of announcing private placement. This study adopts business valuation models to analysis the value -relevance between the corporate intrinsic value and cumulative abnormal returns. Empirical results reveal that both investor’s motivation and net asset value per share are positively correlated with cumulative average abnormal returns. Moreover, earnings per share, changes in shareholding of directors and supervisors, and the difference between corporate intrinsic value and Price/Book Value Method are negatively correlated with cumulative abnormal returns. In addition, there is no statistical relationship between cumulative average abnormal returns and types of private placement investor, numbers of private placement investor, shareholding ratio of directors and supervisors, the difference between corporate intrinsic value and Price/Earnings Ratio Method, or the difference between corporate intrinsic value and Price/Sales Multiples Method.