論私募公司之折價發行、宣告效果及長期績效表現

Underpricing, Announcement Effect and Long-Run Performance Patterns of Private-Equity Firms

梁晏慈(Yen-Tzu Liang)

指導教授 ： 邱忠榮 ； 林允永

淡江大學/商學院/財務金融學系碩士班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.00215

摘要

有鑑於國外私募制度發展成熟，反觀國內實行私募制度，到目前為止僅此短短的六年，相較於公開發行股份之另一種籌資管道，私募制度在國內之金融市場的規模量仍較小，但有日益增加之趨勢。此外，由於過去國內在探討私募方面議題的文獻相當少以及可探討樣本數較小的問題。因此本研究利用106家私募公司之有效大樣本，來分析私募折價發行是否隱含部分資訊，以及在私募宣告效果是否因為投資大眾也樂觀其成公司之私募案件，因此在宣告日之前後三天是否產生正的股價異常報酬。最後，在公司宣告私募後之一年長期績效，是否誠如公司當初所預計達成之績效呢？研究結果顯示：私募比率以及市價淨值比與折價幅度呈現顯著的正相關，意味著資訊不對稱愈嚴重時，相對的投資人也要求更多的折價幅度作為補償。在私募之宣告效果上，由於大部分投資人對於公司未來營收是否會成長，仍使用較近期之判斷資訊，亦即投資人會採用公司最近期之財務報表作為依據。然而，實證結果顯示，國內投資人並未依據最近期之財務報表作為投資依據。最後，在公司宣告私募後之一年長期績效上，發現私募公司之平均營運績效確實有提升之趨勢，因此市場投資人也與以肯定，進而反應在一年後之累積平均異常報酬率具有顯著的正報酬。同時實證結果亦支持，私募宣告後一年之每股盈餘與一年後累積平均異常報酬率呈現顯著正相關。

關鍵字

私募股權 ； 事件研究 ； 長期績效

並列摘要

The development of the private equity system of foreign countries is matured. However in Taiwan, the system had only been in effect for six years. In contrast to the alternative methods of gaining equity, the volume of private equity in the financial market is still small, but with an increasing trend. Moreover, due to the reason that domestic papers discussing private equity and the sampling size used are both limited, therefore this research uses 106 private equity companies as the research sample to analyze whether private placement discounts have hidden information. This research also intends to investigate whether the positive abnormal return prior and after the three days of making the private placement announcement are due to the announcement effect, where the investors are optimistic in the company’s performance. Lastly, This research intends to investigate whether the long-term performance after one year of making the private placement announcement are expected to be accomplished. Regarding to the private placement announcement effect, most investors use short term or recent information to evaluate the company’s future profitability. However, from the empirical evidence of this paper, it is found that domestic investors did not use recent financial statements as the basis of making investment. Lastly, this research found that the averaged long term operating performance after making the private placement announcement has an improving trend, therefore causing the investors to be affirmative in their investment, and it is responded in the positive cumulative average abnormal returns one year after the announcement is made. The empirical evidence of this paper also support that earning per shares (EPS) is positively correlated with the cumulative average abnormal returns after one year of making the private placement announcement.

並列關鍵字

private equity ； event study ； long run performance

參考文獻

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