臺灣博碩士論文加值系統

財務實證文獻顯示，私募的長期績效劣於大盤，並且存在投資人過度樂觀的現象。本文透過Campbell and Vuolteenaho (2004)提出的現金流量貝他與折現率貝他對私募公司的長期績效進行解釋，現金流量貝他代表公司對投資機會改善的風險，折現率貝他代表公司對市場折現率的敏感度。結果發現，現金流量貝他越低，長期績效較差，表示投資人對公司產生的現金流量較不敏感，在私募後相對有較差的表現；折現率貝他越高，長期績效越差，支持投資人在私募案件中會對此類公司產生過度樂觀的現象。

The existing literature finds that firms perform poorly after private placements, which is explained by investors overoptimism. This study uses the two-beta model: cash-flow beta and discount-rate beta, following Campbell and Vuolteenaho (2004) to investigate both issues. Cash-flow beta represents the risk of future investment opportunities, and discount-rate beta represents company’s sensitivity to market discount rate. The results show that firms with low cash-flow beta have poor long-run performance. This implies that with low sensitivity to cash flows are likely to perform poorly following private placements. Further, the negative relation between discount-rate beta and long-run performance indicate that investors are prone to be overoptimistic about high discount-rate beta firms.

第壹章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 1
第三節 研究架構 2
第貳章 文獻回顧 3
第一節 私募與長期績效 3
第二節 過度樂觀 4
第三節 資產定價 4
第參章 研究方法與假說 6
第一節 資料來源與樣本 6
第二節 實證方法 6
第三節 研究假說 11
第四節 VAR估計結果 12
第五節 私募樣本基本統計量 13
第肆章 實證結果 15
第一節 私募樣本特性 15
第二節 Fama-French 四因子模型 17
第三節 迴歸分析 18
第伍章 結論 21
參考文獻 22
【附錄一】依每股盈餘分組之迴歸分析 24
【附錄二】依自由現金流量分組之迴歸分析 25

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