臺灣博碩士論文加值系統

本研究依照Goh et al.(1999)的研究方法，在不考慮累積異常報酬為正負及分
析師盈餘預測修正是否有群聚行為下，探討宣告私募權益證券的資訊內涵當作比
較的基準。其次，本研究擬先考慮宣告私募權益證券累積異常報酬為正負，但不
考慮分析師盈餘預測修正的群聚現象下，將樣本切割成兩部分：正的累積異常報
酬及負的累積異常報酬。最後，本研究擬再加入考慮具群聚行為之分析師盈餘預
測修正，其為不具資訊內涵的因素。
將整體樣本具有群聚行為排除後，研究結果發現具無群聚行為私募權益證券
之累積異常報酬為負的宣告效果，且當年盈餘預測產生向下修正。將樣本切割成
兩部份後發現，當無群聚行為私募權益證券之累積異常報酬為正時，且分析師當
年盈餘預測產生向上修正，表示市場釋放有效訊息；反之，當無群聚行為私募權
益證券之累積異常報酬為負時，且分析師當年盈餘預測產生向下修正，表示市場
釋放非有效訊息。因此，異常報酬與預測修正是有關係的，並發現以上結果與訊
息假說是一致的。

This paper is in accordance with Goh et al.（1999） research methods. Without
taking into account the cumulative abnormal returns into positive and negative group
and analysts earnings forecast revisions whether there are herding behaviors, this
paper examines the information content of private common equity placement
announcements as the comparison base. Secondly, this paper plans to consider the
cumulative abnormal returns of private common equity placement announcements
into positive and negative group, but without considering that analyst earnings
forecast revisions whether there are herding behaviors. This sample is separated into
two parts: positive cumulative abnormal returns and negative cumulative abnormal
returns. Finally, the study considers analysts earnings forecast revisions whether there
are herding behaviors without information content.
After eliminating whole sample herding behaviors, the results show that
cumulative abnormal returns of non-herding behaviors of private common equity
placement announcements is significantly negative announcement effect, and analysts
make significantly downward revision to their forecasts for current-year earnings.
After the Samples is split into two parts, these findings suggests that if cumulative
abnormal returns of non-herding behavior of private common equity placement
announcements is positive, analysts make significantly upward revision to their
forecasts for current-year earnings ,and it indicates that the market convey favorable
information; whereas the cumulative abnormal returns of non-herding behavior of
private common equity placement announcements is negative, analysts make
significant downward revision to their forecasts for current-year earnings ,and it
indicates that the market convey unfavorable information. Therefore, there are
relationships between cumulative abnormal returns and analyst earnings forecast
revisions. These findings are consistent with the information hypothesis.

目 錄 ...................................................................... I
表 次...................................................................... II
圖 次 .................................................................... III
第一章 緒論 ................................................................ 1
第一節 研究背景與動機 ...................................................... 1
第二節 研究目的 ............................................................ 4
第三節 研究架構 ............................................................ 5
第四節 研究流程 ............................................................ 6
第二章 文獻探討 ............................................................ 7
第一節 私募權益證券之相關文獻 .............................................. 7
第二節 分析師盈餘預測之相關文獻 ........................................... 11
第三節 群聚現象之相關文獻 ................................................. 14
第三章 研究方法 ........................................................... 17
第一節 建立研究假說 ....................................................... 17
第二節 選樣標準與資料來源 ................................................. 18
第三節 實證模型 ........................................................... 22
第四章 實證結果與分析...................................................... 35
第一節 樣本統計敘述說明 ................................................... 35
第二節 私募權益證券之宣告效果 ............................................. 38
第三節 橫斷面迴歸分析模型 ................................................. 53
第五章 結論與建議 ......................................................... 59
第一節 結論 ............................................................... 59
第二節 研究限制與建議 ..................................................... 60
參考文獻 .................................................................. 62

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