Announcement Effects and Long-Run Performance Following Private Placements of Equity

[[abstract]]本研究主旨乃探討在排除或降低於研究期間多次辦理私募增資所可能產生的干擾因素後，台灣上市櫃公司私募股權發行對於散戶的宣告效應與長期投資績效影響。樣本公司與財務資料取材自台灣經濟新報資?庫(TEJ+)、新情報贏家資料庫(CTMONEY)及公開資訊觀測站—私募專區。本研究採用事件研究法，以私募定價日的所屬月份做為事件月，建立三種不同的基準報酬模型來計算私募股權發行公司的股價異常報酬。宣告效應以市場模式進行估算，長期投資績效則分別以市場模式、參照公司模式、曆月投資組合模式進行衡量。實證結果顯示，私募股權增資在宣告期間會產生正向異常報酬，而且集中發生在事件月。然而，私募股權發行後，則存在長期的正常報酬或負向異常報酬。[[abstract]]The study mainly explores the effects of private placements of equity by the listed and OTC companies in Taiwan on investment performance of retail investors around the announcement and in the long term after eliminating or decreasing the interference factors from frequent private placements by companies The sources of related samples and data are the databases as follows: TEJ+ CTMONEY and the Market Observation Post System(MOPS) in the Taiwan Stock Exchange We adopt the event-study methodology to measure the abnormal returns of private equity issuing firms by means of three benchmark return models with the month of equity pricing as the event one The announcement effect is examined with the market model and the long-term investment performance of retail investors is separately assessed with the market model control firm model and calendar-time portfolio model Finally the empirical results suggest that around the announcements of private equity issues retail investors can earn positive abnormal returns concentrated in the event month however experience long-term normal returns or negative abnormal returns following private placements of equit