公司治理、異常報酬、盈餘管理與私募股權折價之關係

A Research of Relationship among the Corporate Governance, Abnormal Return, Earnings Management and the Discount of Private Equity

王政翰(Cheng-Han Wang)

指導教授 ： 林嘉慧

台南應用科技大學/管理學院/國際企業經營系碩士班/碩士(2017年)

摘要

本研究以臺灣2005年至2015年間實施私募之公司為研究樣本，首先探討私募宣佈後之短期及長期報酬是否存在異常報酬現象；其次探討當公司治理機制較佳時，即公司能發揮董事會與股東會之監督機制時，私募是否會有較小之折價幅度；再次探討私募前公司有較佳之異常報酬，私募是否會有較小之折價幅度；最後探討盈餘管理之幅度愈大，私募公司對應募者之折價補償愈高，私募公司股權折價幅度是否愈大。
本研究發現上市公司之私募金額佔所有上市櫃公司的三分之二左右，前五大產業占該期間私募金額之47.78%。在短期異常報酬部分，本研究結果顯示，僅在宣告日後第五天、第六天及第七天，在統計上未達顯著水準，其餘皆達5%以上正向顯著水準。從累積平均異常報酬率來看，私募股權在宣告前三天至宣告日後十日皆達1%正向顯著水準。至於私募對股價之長期影響，研究結果發現私募後第一年至第三年之異常報酬皆不佳。
研究結果顯示在公司治理構面部分，外部監察人席次比率愈高，則監督機制愈高，股權折價幅度愈小，而大股東股權質押比率愈低，則股權折價幅度愈小，因此公司治理愈佳，則折價幅度愈小；前期異常報酬愈高，則折價幅度愈小；在盈餘管理方面，若加入公司治理變數與異常報酬變數，則處分投資損益會影響私募之折價幅度，表示當公司進行盈餘管理時是以處分投資損益為工具，處分投資損益愈大，則股權折價幅度愈大。

關鍵字

私募股權 ； 股權折價幅度 ； 長短期報酬 ； 公司治理 ； 異常報酬 ； 盈餘管理

並列摘要

This study firstly examines whether there are short-run and long-run abnormal returns when private placement is announced publicly. Secondly, we discuss whether better corporate governance delivers a smaller discount of private equity. Thirdly, we explore better abnormal
returns lead to a smaller discount of private equity or not. Finally, we analyze the relationships between earnings management and the discount of private equity placement. A sample of 342 private placement companies in Taiwan gathered from the TEJ database covered the years
2005 through 2015 was used to fulfill these purposes.
This study shows the value of the private placement of listed companies accounts for about two-thirds of all listed and OTC companies, and the top five industries account for almost 47.78% during the same period. Short-run returns are found to be positively significant at 5% level of significance except those which are made five, six or seven days after the declaration of private placement. Results further show that cumulative average abnormal rate of return is also positively significant at 1% level of significance in the cases simulated at the
regular intervals between three days prior the declaration of private placement and ten days after the declaration. Long-run abnormal returns are not good after private placement was made in one to three years.
Furthermore, the empirical results show the higher the ratio of the external supervisors, the higher the supervisory mechanism results the smaller the discount of the equity. The lower stock collateralized ratio, the smaller the discount of the equity. This implies that better corporate governance results in a smaller discount. In terms of abnormal returns, the higher
the previous abnormal returns, the smaller the discount of the equity. Taking into account the variables such as corporate governance and abnormal returns, gain on disposal of investments has a significant effect on the discount of private equity. The finding proves that the greater the gain on earning management, the larger the discount of private equity.

並列關鍵字

private equity placement ； discount of the equity ； short-run and long-run returns ； corporate governance ； earnings management

參考文獻

陳錦村、葉雅薰(2002)。公司改組、監督機制與盈餘管理之研究。會計評論，34，1-29。

Fama, E. F., & French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3-56.

Jensen, M. C., & Meckling, W. H. (1976). Theory of the Firm: Managerial Behavior, Agency Costs, and Ownership Structure. Journal of Financial Economics, 3(4), 305-360.

中文部分：

王雪花(1994)。股票股利與股價關聯性之研究。國立臺灣大學會計研究所碩士論文，臺北市。