臺灣博碩士論文加值系統

本文以國內上市上櫃公司為樣本探討違約風險與私募股權之間的關係，期望透過瞭解私募前後違約風險變化程度與私募股權長短期股價反應及折溢價幅度的關係，釐清私募股權在降低公司違約風險的角色。將樣本分成未來違約距離減少(即違約機率增加)和違約距離增加(即違約機率減少)的兩類子樣本，研究結果發現：(1)違約距離增加的樣本公司其私募宣告效果顯著為正，而違約距離減少的樣本公司則沒有顯著正向的宣告效果。(2)違約距離增加的樣本公司其應募人為內部人的比例高於違約距離減少的公司，並且其應募動機有較多比例為策略與積極型，而違約距離減少的樣本公司其應募動機為財務困難的比例較違約距離增加的公司高，此外應募人中新內部人的比例亦較違約距離增加的樣本高。(3)違約距離增加的公司私募後的營運績效的確有因私募增資而改善，其績效表現在增資後一年內即顯著大於違約距離減少的公司。(4)私募增資宣告後一年，違約距離減少的公司比違約距離增加的公司長期股價反應顯著較小，但隨時間愈久，違約距離減少的公司長期股價表現有漸漸獲得改善。(5)就私募發行價格而言，違約距離增加的私募案折價幅度較小或部分採溢價發行，而違約距離減少的公司則以較深的折價發行，顯示應募人的確可以分辨公司品質好壞。

We adopt the sample of listed companies in Taiwan Stock Exchange to examine the relationship between default risk and private placement equity and to provide a more clear evidence of the role of private placement in reducing default risk. Through grouping the sample into default risk increasing and default risk decreasing private placements, our empirical results show that: (1) there are significantly positive announcement responses in default risk decreasing sample, while there are no significantly positive market responses in default risk increasing ones. (2) The funding of private placements is mainly driven by insiders in default risk decreasing sample, and the purposes are mostly for active strategy. Contrarily, the purpose of default risk increasing sample is higher in financial distress than default risk decreasing, and the percentage of new insiders in default risk increasing sample is higher than default risk decreasing ones. (3) The post-operating performance of default risk decreasing sample are improved in default risk decreasing sample. (4) As long term return, the default risk increasing sample is much better than default risk decreasing ones. (5) Finally, the default risk increasing sample private equity at a discount, while the default risk decreasing sample place private equity at a less discount or a premium. The evidence shows that private placement pricing conveys information to the stock market regarding firms default risk change.

一、緒論 1
1.1 研究背景與動機 1
1.2 研究目的 4
二、文獻探討 6
2.1私募股權的宣告效果與長期股價反應 6
2.2私募的發行價格 7
2.3違約風險與私募股權的關係 8
2.4 研究假說 11
三、樣本與研究方法 14
3.1樣本與資料來源 14
3.2公司基本概況 14
3.3實證分析方法 16
四、實證分析與結果 18
4.1違約風險與私募宣告效果 18
4.2私募案件的違約風險與應募人類別的關係 19
4.3私募案件的違約風險與不同私募動機的關係 21
4.4違約機率與自我圖利假說 23
4.5私募案件的違約風險與營運績效的關係 24
4.6私募案件的違約風險與長期股價反應 25
4.7私募案件折溢價幅度與違約風險的關係 25
五、結論 30
參考文獻 31
中文部分 31
外文部分 32

中文部分
1.呂季蓉，2005年，「台灣上市上櫃公司私募之研究」，國立中山大學財務管理研究所碩士論文。
2.張瑞當、沈文華、黃怡翔，2007年，「宣告效果、股價報酬與盈餘管理：我國企業私募之研究」，第十六屆會計理論與實務研討會。
3.陳俊合、羅國華、王馨晨，2009年，「內部人認購、公司治理結構與私募股權折價」，證券市場發展季刊，第21卷第2期，頁119-150。
4.葉京怡、馬黛，2010年，「私募股權宣告效果：台灣市場之實證」，2010台灣財務金融學會年會暨中部財金學術聯盟研討會。
5.劉永欽，2008年，「股票購回宣告後股價是否過度反應？過度自信與自我歸因偏誤的觀點」，證券市場發展季刊，第20卷第4期，頁39-86。
 
外文部分
1.Altman, E. I., 1968, “Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy,” Journal of Finance, Vol. 23, 589-609.
2.Anderson, H. D. and L. C. Rose, 2008, “Firm Quality and the Placement Price of Private Equity,” Working Paper Series.
3.Barclay, M. J. and D. P. Sheehan, 2001, “The Block Pricing Puzzle,” Working Paper.
4.Black, F. and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, Vol. 81, 637-654.
5.Brophy, D., J. P. Ouimet and C. Sialm, 2004, “PIPE Dreams?: The Impact of Security Structure and Investor Composition on the Stock Price Performance of Companies Issuing Equity Privately,” Working Paper Series.
6.Cronqvist, H. and M. Nilsson, 2004, “The Choice between Rights Offerings and Private Equity Placements,” Working Paper Series.
7.Fama, E. F. and K. R. French, 1993, “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics, Vol. 33, 3-56.
8.Ferguson, M. F. and R. L. Shockley, 2003, “Equilibrium Anomalies,” Journal of Finance, Vol. 58, 2549-2580.
9.Gombola, M., F. Y. Liu and D. W. Chou, 2006, “Distress Risk and Stock Returns following Private Placements of Equity,” Working Paper Series.
10.Hertzel, M. G. and L. L. Rees, 1998, “Earnings and Risk Changes around Private Placements of Equity,” Journal of Accounting, Auditing and Finance, Vol.13, 21-35.
11.Hertzel, M. and R. L. Smith, 1993, “Market Discounts and Shareholder Gains for Placing Equity Privately,” Journal of Finance, Vol. 48, 459-485.
12.Hertzel, M., M. Lemmon, J. S. Linck and L. Rees, 2002, “Long-Run Performance following Private Placements of Equity,” Journal of Finance, Vol. 57, 2595-2617.
13.Ma, T. and C. Y. Yeh, 2009, “Do Insiders Pay More or Less in Private Placement?” Working Paper Series.
14.Merton, R. C., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, Vol. 2, 449-470.
15.Ritter, J., 1984, “Signaling and the Valuation of Unseasoned New Issues: A Comment,” Journal of Finance, Vol. 39, 1231-1237.
16.Wruck, K. H., 1989, “Equity Ownership Concentration and Firm Value: Evidence from Private Equity Financings,” Journal of Financial Economics, Vol. 23, 3-28.
17.Wu, Y., 2004, “The Choice of Equity-Selling Mechanisms,” Journal of Financial Economics, Vol. 74, 93-119.