本研究主要探討在資訊不對稱的情形下，公司私募期間前後是否會發生股價異常變動情形，亦即公司內部人或關係人因於私募宣告前率先得知訊息，是否會藉由股價的波動進行套利獲取價差。本研究實證發現，於私募宣告前股價出現顯著的上漲波段，並隨著宣告日的接近而漲勢漸緩。本研究亦採取企業評價模式，分析公司實質股價與累積異常報酬之關聯性。
　　本研究實證結果顯示，應募人投資動機、每股淨值與累積平均異常報酬率間都呈顯著正相關；每股盈餘、董監持股變動、價格帳面價值比法差異與累積平均異常報酬率間都呈顯著負相關；而應募人類型、應募人數量、董監持股比、本益比法差異、價格銷售比法差異則不會對累積平均異常報酬率產生影響。

　　This paper delves into the case of asymmetric information, whether there will be abnormal movements of stock price when the insiders obtain the private informations ahead of the announcements of private placement, and then the insiders can carry out arbitrage and earn the price margin by the abnormal movements of stock price. The empirical results indicate that there has been a significant rise in the stock price before the announcements of private placement, and the gains gradually slowed with close to the day of announcing private placement. This study adopts business valuation models to analysis the value -relevance between the corporate intrinsic value and cumulative abnormal returns.
　　Empirical results reveal that both investor’s motivation and net asset value per share are positively correlated with cumulative average abnormal returns. Moreover, earnings per share, changes in shareholding of directors and supervisors, and the difference between corporate intrinsic value and Price/Book Value Method are negatively correlated with cumulative abnormal returns. In addition, there is no statistical relationship between cumulative average abnormal returns and types of private placement investor, numbers of private placement investor, shareholding ratio of directors and supervisors, the difference between corporate intrinsic value and Price/Earnings Ratio Method, or the difference between corporate intrinsic value and Price/Sales Multiples Method.

中文摘要 ………………………………………………… i
英文摘要 ………………………………………………… ii
誌謝 ……………………………………………………………… iii
目錄 …………………………………………………………… iv
表目錄 …………………………………………………………… vi
圖目錄 …………………………………………………………… vii
第一章 緒論……………………………………………………… 1
1.1 研究動機與目的………………………………………… 1
1.2 研究架構………………………………………………… 2
第二章 文獻探討與研究假設…………………………………… 3
2.1 台灣私募制度介紹……………………………………… 3
2.2 私募套利行為…………………………………………… 3
2.3 應募人特性與累積異常報酬率………………………… 4
2.3.1 應募人類型與累積異常報酬率………………………… 4
2.3.2 應募人投資動機與累積異常報酬率…………………… 4
2.3.3 應募人數量與累積異常報酬率………………………… 5
2.4 公司特性與累積異常報酬率…………………………… 5
2.4.1 每股盈餘與累積異常報酬率…………………………… 5
2.4.2 每股淨值與累積異常報酬率…………………………… 5
2.4.3 董監事持股與累積異常報酬率………………………… 5
2.5 企業評價與累積異常報酬率…………………………… 6
2.5.1 私募市場分析…………………………………………… 6
2.5.2 企業評價分析…………………………………………… 6
2.5.3 企業評價與累積異常報酬率…………………………… 7
第三章 研究方法………………………………………………… 9
3.1 樣本選取與資料來源...………………………………… 9
3.2 事件研究法……………………………………………… 9
3.2.1 市場模式………………………………………………… 9
3.2.2 異常報酬率之計算……………………………………… 10
3.2.3 異常報酬率之檢定……………………………………… 11
3.3 研究變數與迴歸模型…………………………………… 12
3.3.1 自變數…………………………………………………… 12
3.3.2 控制變數………………………………………………… 15
第四章 實證結

中文部份
[1]陳香吟 ( 2007), 「強化資本市場籌資功能─私募制度之修訂」，證券期貨局專案研究報告。
[2]楊世瑩 (2008)，SPSS統計分析實務，台北：旗標出版股份有限公司。
英文部分
[1]Barclay, M.J., Holderness, C.G., and Sheehan, D.P. (2007), “Private Placements and Managerial Entrenchment”, Journal of Corporate Finance 13, 461-484.
[2]Brophy, D.J., Ouimet, P.P., Sialm, C., (2009), “Hedge funds as investors of last resort”, Review of Financial Studies 22, 541–574.
[3]Cremers, Martijn and Vinary Nair, (2005), “Governance mechanism and equity prices”, Journal of Finance 60(6), 2859-2894.
[4]Chaplinsky, S., and Haushalter, D. (2006), “Financing under extreme uncertainty: Contract terms and returns to private investments in public equity”, Working Paper, University of Virginia.
[5]Damodaran, A. (2002), “The Dark Side Valuation: Firm with no Earning, no History, no Comparables Can Amazon.com be Valued”, Stem School of Business.
[6]Dai, N. (2007), “Does investor identity matter? An empirical examination of investments by venture capital funds and hedge funds in PIPEs”, Journal of Corporate Finance 13, 538-563.
[7]Hertzel, M., and Smith, R.L. (1993), “Market Discounts and Shareholder Gains from Placing Equity Privately”, Journal of Finance 48(2), 459-485.
[8]Hertzel, M., Lemmon, M., Linck, J., and Rees, L. (2002), “Long-term Performance Following Private Placements of Equity”, Journal of Finance 57(6), 2595-2617.
[9]Jensen, M.C., Meckling, W.H., (1976), “Theory of the firm: Managerial behavior, agency cost and ownership structure”, Journal of Financial Economics, 3, 305-360.
[10]Krishnamurthy, S., Spindt, P., Subramaniam, V., and Woidtke, T. (2005), “Does investor identity matter in equity issues? Evidence form private placements”, Journal of Finance Intermediation 14, 210-238.
[11]Liu, J., Nissim, D., and Thomas, J. (2002), “Equity valuation using multiples”, Journal of Accounting Research 40, 135-172.
[12]Park, Y.S., Lee, J.J. (2003), “An Empirical Study in the Relevance of Applying Relative Valuation Modes to Investment Strategies in the Japanese Stock Market”, Japan and the World Economy 15, 331-339.
[13]Sheehan, D. P., and Swisher, J. (1998), “How Sophisticated are “Sophisticated Investors”, Working paper, Penn State University.
[14]Wruck. K.H., (1989), “Equity ownership concentration and firm value”, Journal of Financial Economics 23, 3-28.