私募股權折舊幅度之探討

An Examination on the Discount of Private Equity Placement

莊幸燁(Shing-Yeh Chuang)

指導教授 ： 紀麗秋

共同指導教授 ： 鄧誠中

國立虎尾科技大學/管理學院/財務金融研究所/碩士(2013年)

摘要

私募有價證券開始實施自2002年起至今已有十一年之歷史，在過去文獻探討針對私募發行的研究中，大多研究指出私募股權於宣告日前後具有宣告效果。也因過去私募弊案顯示，應募人可能藉由了解私募公司內部狀況，利用私募具有宣告效果特性，藉由價格波動進行套利。
私募制度自2010年九月，更改私募定價相關規範以加強私募之嚴謹性。因此本研究探討方向分為兩大部分。首先，探討在資訊不對稱下，私募期間發行公司是否會產生股價異常變動之現象。本研究首次將私募樣本以私募於2010年九月修法宣布作為分界點，分組探討舊制度前之私募樣本與修法後私募樣本，兩者之累積異常報酬，分析新舊制前後是否有差異變化。 本研究亦針對新制私募樣本其公司特性構面與應募人特性構面對私募折舊幅度之影響性進行探討。
經本研究實證發現，累積異常報酬方面，新制度之私募樣本，雖於宣告前股價出現上漲波段，但波動幅度較趨緩，隨宣告日後漲勢趨緩下降程度，其時間上也比較快。私募折價幅度分析上，在公司特性構面部分，公司規模與私募折價幅度呈現負相關，而淨值市價比則呈顯著正相關。亦即表示當公司規模越小時、淨值市價比越愈大時，其折價幅度將愈大。而應募人特性構面，應募人數量呈現顯著負相關，顯示應募人數量越多時，其折價幅度越小。

關鍵字

私募股權 ； 累積異常報酬率 ； 折價

並列摘要

Privately placed securities have history of 11 years since implementation in 2002. Based on the past literature regarding private placement, most studies indicate that private equities have announcement effect before and after the announcement date. Based on the experience of fraud cases related to private placement, subscribers may use announcement effect of private placement for arbitrage through price fluctuation because they know internal situations of the private equity firms.
The private placement regulations of the private placement system were revised since September 2010 to enhance the conscientiousness of private placement. This study is divided into two parts. The first part is to discuss whether firms have abnormal stock price variation during private placement when the information is asymmetric. First, the demarcation point of the private placement samples is law revision in September 2010. This paper discusses cumulative abnormal return of private placement samples before and after law revision, and analyzes whether it has difference before and after the new system. In addition, it also probes into the influence of characteristics of sample firms and subscribers on price discount of private placement in new private placement system.
The empirical study finds that for cumulative abnormal return, in the new system, stock prices in the private placement samples increased before announcement but the fluctuation is moderate. After announcement, the increase rate is decreased quickly.
For analysis on price discounts in private placement, in firm features, company scale is negatively correlated with private placement, and positively correlated with ratio of net value to market value. This reveals that when the company size is small, the ratio of net value to market value is higher, and the price discount is greater. The number of the subscribers shows a negative correlation with the price discount.

並列關鍵字

Private equity placement ； Cumulative abnormal returns ； Discount

參考文獻

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