本研究目的為探討2007年到2010年之間,台灣上市上櫃公司進行私募宣告後之效果,檢驗公司在進行私募股權之宣告後,是否對股價有影響,是否存在有異常報酬,或利用私募股權宣告行哄抬股價之可能性,或是私募宣告是否對公司有異常報酬之訊號效果。以事件研究法進行實證,結論歸納如下: 一、 私募股權之宣告對上市櫃公司有正向宣告效果 實證證明在事件宣告日前後都會有正向異常報酬;事件日前48日到前36日為最高的正向平均累積異常報酬,私募股價在事件日前已經發酵,證明私募宣告前內部關係人洩漏消息的可能性高。而股價在事件日後36天左右有次高的正向平均累積異常報酬,顯著水準證明私募宣告對股價有正向的宣告效果。 二、 多次進行私募的上市櫃公司,其私募宣告後會有負向宣告效果 四年間多次進行私募宣告的上市櫃公司,在事件日前60日起到事件日前49日有逐漸增長的正向異常報酬,從事件日前49日後就逐漸下降,到事件日前32日轉為負向異常報酬,到事件日的前25日有最高的負向異常報酬,其時間點約為在市場上首次公開揭露訊息之時,即股東會開會通知書寄發時間,表示投資人對這類多次進行私募的公司失去信心,所以私募宣告反而會有負向宣告效果。 而宣告前的正向異常報酬,更顯示訊息洩漏或內部關係人事先套利的可能性非常高。
The purpose of the study is to investigate the effect of private placement announcement for listed companies in Taiwan during 2007 to 2010. The study examines the fluctuation of the stock price and the abnormal return after the announcement by adopting the event study methodology. The result indicates the following: 1. The private placement has its positive announcement effect. Positive abnormal return before/after the private placement announcement; the cumulative average abnormal return (CAR) of private placement announcement and the earning before or after the announcement are both significantly positive. The highest ratio falls at 36 to 48 days prior to the announcement, the evidence shows the possibility that information of private placement announcement flows out in advance. The 2nd high positive CAR at 36 days after the announcement proves the private placement have positive announcement effect. 2. Companies hold several private placements within 4 years would obtain negative announcement effect. Positive abnormal return starts from 60 to 49 days prior to the announcement of private placement, and turn to negative accumulated abnormal returns at 32 days prior to the announcement. The CAR curve is downward, the lowest ratio at 25 days prior to the announcement and this almost falls at the same time while the information been disclosed in the public market and the notice of shareholders’ meeting being sent out. The evidence shows the investors have lost the confidence in these companies. Therefore, the repeat private placements would cause significant negative effects on abnormal returns. And the positive abnormal return starts prior to the event, shows the great possibility that the information flows out in advance.