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研究生:劉言鼎
研究生(外文):Yen-ting Liu
論文名稱:私募異常報酬與交易量之決定因素
論文名稱(外文):Determining Factors of Abnormal Returns and Volumes for Private Equity Offerings
指導教授:李瑞琳李瑞琳引用關係
指導教授(外文):Ruei-Lin Lee
學位類別:碩士
校院名稱:朝陽科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:78
中文關鍵詞:異常交易量事件研究法異常報酬私募股權
外文關鍵詞:private equityabnormal returnsevent studyabnormal volumes
相關次數:
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  台灣上市櫃公司自91年私募管道鬆綁後,從事私募案件有逐年增加趨勢,顯示私募已逐漸成為企業募集資金的方案。本研究從投資者行為及預期兩方面去探討公開發行公司宣告私募發行是否會產生報酬與交易量的異常現象,並考慮短期經營績效是否有影響與改變。本研究對照產業控制因素發現,投資人行為在公司宣告私募發行確實會分別產生正的報酬和交易量的異常現象。另一方面,本研究進一步驗證投資者是否過度樂觀看待私募發行前後短期績效之投資者行為,本研究發現經營者與投資者對於企業宣告私募後短期績效有些過於樂觀的解釋現象。最後,本研究結果指出與先前文獻理論不同之處在於對私募宣告異常報酬與異常交易量反應的解釋,以及更進一步提供關於信用評等在私募發行上的影響。
For the deregulation relating the private placement offerings in 2002, Taiwan publicly listed companies turn to focus on private placement offerings. In this study, we provide the evidence on investor behavior and expectations around equity issues by investigating the abnormal return and volume and operating performance of publicly listed firms conducting private equity issues. In contrasting to control the industry effect, our evidence suggests continued positive abnormal return and volume performance following the announcement. On the other hand, this evidence suggests that managers and investors may be too optimistic about the short-run post-announcement underperformance of firms issuing equity privately. Finally, our results are inconsistent with theories that have been advanced previously to explain the positive abnormal return and volume reaction to private placement announcements. Our results also provide further explanation of credit rating on private placement offerings.
目錄
摘 要 I
Abstract II
誌 謝 III
表目錄 VI
圖目錄 VII
第壹章 緒論 1
第一節 研究動機 1
第二節 研究目的與貢獻 4
第三節 論文架構 5
第貳章 文獻回顧 8
第一節 私募股權之宣告效果 8
第二節 私募股權長期股價表現 12
第參章 研究方法 15
第一節 樣本選取與資料來源 15
第二節 異常報酬率之估計 16
第三節 調整折價後異常報酬 ( ) 之衡量 20
第四節 異常交易量之估計與檢定 23
第五節 私募股權異常報酬之成因分析 26
第六節 迴歸分析模型與折(溢)價發行之建立與檢定 31
第七節 研究假說的建立 32
第四章 實證結果 35
第一節 樣本之敘述統計 35
第二節 私募股權異常報酬及交易量之估計與檢定 37
第三節 私募股權異常報酬與異常交易量成因分析 42
第五章 結論與建議 52
第一節 結論 52
第二節 建議 53
參考文獻 55
附錄一:樣本股票私募股權各事件日之日期 60
附錄二:TCRI方法論 66

表目錄
表3-1 自變項之定義與衡量 26
表4-1 樣本公司之私募年度分佈表 35
表4-2 私募股權公司產業分佈表 36
表4-3 以觀測站公佈日作為事件日之樣本敘述性統計 37
表4-4 個股與產業前後30天累積平均異常報酬與累積平均異常交易量之比較 42
表4-5 變數間相關係數 44
表4-6 個股與產業前後30天累積異常報酬比較 46
表4-7 個股與產業前後30天累積異常交易量比較 47
表4-8 事件期累積異常報酬與累積異常交易量聯立迴歸表 50
表4-9 事件期累積異常報酬與累積異常交易量聯立迴歸表 51
附表1 樣本股票私募股權各事件日之日期 60
附表2 信用評等評估要素及說明 66
附表3 企業體質分析 67
附表4  TCRI評等方法的步驟及衍生指標 70
附表5 TCRI計算方法 71
附表6 TCRI等級意義VS.授信參考 75

圖目錄
圖1-1 研究流程圖 7
圖3-1 本研究對於估計期與事件期之定義 16
圖4-1 個股與產業前後30天平均異常報酬之比較 39
圖4-2 個股與產業前後30天累積平均異常報酬之比較 39
圖4-3 個股與產業前後30天平均異常交易量之比較 40
圖4-4 個股與產業前後30天累積平均異常交易量之比較 40
附錄圖1  TCRI評等實際程序 77
參考文獻
中文部份
李協昌 (2006)。上市公司私募股權之資訊內涵及折價因素之探討。碩士論文,國立台灣大學會計學研究所,台北。
林育安 (2006)。私募股權之資訊內涵:上市(櫃)公司之實證研究。碩士論文,國立台灣大學國際企業學研究所,台北。
林淑娟 (2002)。摩根台指成份股調整宣告對現貨市場之影響。碩士論文,國立成功大學國際企業研究所,台南。
陳振智 (2007)。私募股權之異常報酬率探討。碩士論文,國立台灣大學國際企業學研究所,台北。
許雪芳 (2003)。上市上櫃私募之研究。碩士論文,國立中山大學財務管理研究所,高雄。


英文部分
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Barclay, M. J. & Holderness, C.G. (1989). Private Benefits from Control of Public Corporation. Journal of financial Economics, 25, 271-395.
Barclay, M. J., Holderness C.G. & Sheehan D. P. (2001).The Block Pricing
Puzzle. working paper, University Rochester.
Barclay, M. J., Holderness C.G. & Sheehan D. P. (2003). Private Placement and
Managerial Entrenchment. working paper, SSRN.
Bessembinder, Chan, H. K. & Seguin, P. J. (1996). An empirical examination of information﹐differences of opinion, and trading activity. Journal of Financial Economics, 40, 105-34.
Chen, S. S., Ho, K. W., Lee, C. F. & Yeo, G. H. H. (2002). Long-run Stock
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Cronqvist, H. & Nilsson, M. (2003). The Choice Between Rights Offerings and
Private Equity Placements. working paper SSRN, FEN Cap-Structure WPS.
Cronqvist, H. & Nilsson, M. (2004). The Choice Between Rights Offerings and Private Equity Placements. Journal of Financial Economics, forthcoming.
Demsetz, H., & Lehn K. (1985). The Structure of Corporate Ownerships: Causes and Consequences. Journal of Political Economy, 93 1155-1177.
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Harris, L. & Gurel, E. (1986). Price and Volume Effects associated with Changes in the S&P list: New Evidence for the Existence of Price Pressures. Journal of Finance, 41, 58-65.
Hertzel, M., Lemmon, M., Linck, J. S., & Ress, L. (2002). Long-tern Performance Following Private Placements of Equity. Journal of Finance, 57, 2595-2617.
Hertzel, M. & Smith, R.L. (1993). Market Discounts and Shareholder Gains for Placing Equity Privately. Journal of Finance, 48 (2), 459-485.
Hertzel, M. & Rees, L. (1998). Earnings and Risk Changes Around Private Placements of Equity. Journal of Accounting, Auditing and Finance, 13 (1), 21-35.
Janney, J. J. & Folta, T. B. (2003). Signaling Through Private Equity Placements and Its Impact on The Valuation of Biotechnology Firms. Journal of Business Venturing, 18 (3), 361-380.
Jensen, M. C. & Meckling, W. H. (1976). Theory of The Firm: Managerial Behavior, Agency Costs and Ownership Structure. Journal of Financial Economics, 3, 305-360.
Kato, k., & Schallheim, J. S. (1993). Private Equity Financial in Japan and Corporate Grouping (Keiretsu). Pacific-Basin Finance Journal, 1, 287-307.
Krishnamurthy, S., Spindt, P., Subramaniam,V. & Woidtke, T. (2004). Does Investor Identity Matter in Equity Issues? Evidence from Private Placements. Journal of Financial Intermediation, 14 (2), 210-238.
Krishnamurthy, S., Spindt, P., Subramaniam,V. & Woidtke, T. (2005). Does Investor Identity Matter in Equity Issues? Evidence from Private Placements. Journal of Financial Intermediation, 14 (2), 210-238.
Lee, H. W. & Claudia K. (2001). Firm Characteristics and Seasoned Equity Issuance Method: Private Placement Versus Public Offering. Journal of Applied Business Research, 17 (3), 23-36.
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Mikkelson, W. M. & Partch, M. M. (1986). Valuation Effects of Security Offerings and The Issuance Process. Journal of Financial Economics, 15, 523-553.
Myers, S. C. & Majluf, N. S. (1984). Corporate Financing and Investment Decisions When Firms Have Information That Investor Do Not Have. Journal of Financial Economics, 13, 187-221.
Ruth, S. K. T., Chng, P. L. & Tong, Y. H. (2002). Private Placements and Rights Issues in Singapore. Pacific-Basin Finance Journal, 10, 29-54.
Shleifer, A. & Vishny R. W. (1986).Large Shareholders and Corporate Control. The Journal of Political Economy, 94, 461-488.
Stulz, R. M. (1988). Managerial Control of Voting Rights: Financing Policies and The Market for Corporate Control. Journal of Financial Economics, 20, 25-54.
Wruck, K. H. (1989). Equity Ownership Concentration and Firm Value: Evidence from Private Equity Finacings. Journal of Financial Economics, 23, 3-28.
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