[[alternative]]The effect of private placement of equity on short-run and performance of long-run stock return

碩士商業教育學系[[abstract]]自從我國於2002年將私募制度增訂於證券交易法，開放私募有價證券制度以來，私募已成為近年來資本市場中之新興議題，以及公司籌集資金的另一便利管道。近年來採用私募籌資之案件數與日劇增，顯示私募已逐漸成為我國上市上櫃公司募集資金的方案。本研究採事件研究法探討私募短期的宣告效果，及長期股價的表現，進而以迴歸分析探討影響私募宣告效果的可能因素。 實證結果發現以董監事決議日為宣告日之私募股權宣告，上 市公司具有正向的異常報酬，表示私募之訊息在宣告日當天造成 正向的資訊效果；而上櫃公司在私募事件日未有達到顯著水準之 統計結果。所以上市公司短期的資訊效果優於上櫃公司。但不論 上市櫃公司其長期股價表現皆為正向的資訊效果。 影響私募宣告後累計異常報酬之因素包括折價幅度、投資機會、私募股份比例、淨值市價比、內部管理者應募比例。私募股份比例及淨值市價比對上市公司樣本有顯著影響，私募股份比例高及淨值市價比高，對上市公司私募宣告後累計異常報酬會較高；而僅有私募股份比例對上櫃公司有顯著的影響，私募股份比例高，宣告後累計異常報酬也愈高。最後探討不同產業別間其宣告效果是否有顯著差異，研究結果顯示不同產業別對私募宣告後累計異常報酬並無顯著影響，且產業間的差異並不明顯。 關鍵詞：私募股權、事件研究法、異常報酬、宣告效果[[abstract]]In 2002, private placements have been added into the Securities and Exchange Law. Since private placement of marketable securities was opened, it has become in recent years an emerging issue in the capital market and one convenient channel for companies to raise funds. In recent years, the number of cases adopting private placement of marketable securities has been on the increase, demonstrating that private placements have gradually become a method for listed and OTC companies to raise funds. This research adopts an event-study methodology to investigate into the short announcement effect of private placement and the long-run performance of stock prices, and then adopts regression analysis to probe into possible causes that influence the announcement effect of private placements. The empirical result shows that listed companies will have positive abnormal returns if the announcement of private placements is made on the Board of Directors’ resolution day. It signifies that the announcement of private placements brings about a positive information effect on the announcement day, whereas OTC companies do not have a prominent positive information effect. That is to say, the short-run information effect of listed companies is better than that of OTC companies. However, long-run performances of stock prices of both listed and OTC companies are positive. Causes that influence the cumulative abnormal returns after the announcement of private placements include variations of discount, investment opportunities, the ratio of private placements, the B/M ratio, and the ratio of subscribers of internal managers. The ratio of private placements and B/M ratio pose a prominent impact on listed companies, whereas only the ratio of private placements poses a marked impact on OTC companies. The higher the ratio is, the higher the cumulative abnormal returns will be after the announcement. In the end, the research probes into if there is a pronounced disparity of the announcement effect among different industries. The research result shows that there is no significant impact in the cumulative abnormal returns after the announcement of private placements and the disparity in different industries is not obvious. Keywords: private equity placement, event-study methodology, abnormal returns, announcement effec