本研究採用事件研究法，針對私募權益證券之宣告公司及其同業競爭者之股價進行研究，以驗證宣告公司之財富移轉效果，及其同產業競爭者之股價效果，進而探索其效果為訊號發射效果或為競爭效果。之後，更進一步透過多元迴歸分析探討影響產業內效果之重要因素。本研究實證結果發現私募權益證券宣告公司與其競爭者皆有負且顯著之累積異常報酬，亦即私募權益證券資訊屬於訊號發射效果，而非競爭效果；且該訊號發射效果具有異質性而非集中於單一產業。經採多元迴歸分析，結果發現私募權益證券宣告之訊號效果，經控制相關變數後仍有一致性的結果。除此之外，宣告公司之累積異常報酬與私募股數占流通在外股數皆與競爭者累積異常報酬呈現顯著正相關；而公司規模變數則與競爭者之累積異常報酬有顯著的負向關係，私募資金用途變數則僅有部分結果支持。

This study uses event study to investigate the effects on shareholder wealth, for both the announcing firm and its rivals, of the private common equity placements. We also try to identify two competing hypotheses: Information-signaling hypothesis and competitive hypothesis. And then we use regression models to determine what might cause dispersed intra-industry effect to private placement. The results show that announcers and its rivals experience significant negative cumulative abnormal returns, which indicate that the information signaling effect dominates the competitive effect. Additionally, we report that the announcement of private common equity placement have heterogeneous intra-industry effects. It is noted that announcers’ cumulative abnormal return and its private placement fraction have a significantly positive relationship with the abnormal returns of rival firms. Conversely, firm size has a significantly negative relationship with the abnormal returns of rival firms, but the purpose of private placement is partially supported. Overall, it can be seen that information signaling effects hold after other variables, that could affect the intra-industry effect of private placement, are controlled.

目錄

第壹章	緒論	1
第一節 研究背景與動機	1
第二節 研究目的	6
第三節 論文架構	7
第四節 研究流程	8
第貳章 文獻回顧	9
第一節	我國私募制度與相關法令之簡介	9
第二節 私募權益證券宣告效果文獻	16
第三節 產業內資訊移轉效果文獻	21
第參章	研究方法	27
第一節 研究假說	27
第二節 樣本選取與資料來源	30
第三節 分析方法與變數操作性定義	31
第肆章	實證結果與分析	41
第一節 樣本資料敘述說明	41
第二節 私募權益證券之宣告效果	44
第三節 競爭者股價效果之橫斷面分析	50
第伍章	結論與建議	54
第一節 研究結論	54
第二節 研究限制與建議	56
參考文獻	57

 

表目錄

表4.1.1 宣告公司研究樣本產業分類 …………………………………………….42
表4.1.2 研究樣本觀察值之各變數敘述統計分析（2002年至2005年） .…….43
表4.2.1 宣告公司之宣告效果 …………………………………………………….45
表4.2.2 競爭者之宣告效果 ……………………………………………………….46
表4.2.3 以財務困難與否分組之宣告公司累積異常報酬 ……………………….47
表4.2.4 以財務困難與否分組之競爭者累積異常報酬 ………………………….48
表4.2.5 各產業別之異常報酬 …………………………………………………….49
表4.3.1 研究樣本之皮爾森相關係數矩陣 ……………………………………….52
表4.3.2 橫斷面迴歸分析 ………………………………………………………….53

 

圖目錄

圖 1.4.1 研究流程圖……………………………………………………………........8
圖 3.3.1 事件研究法之時間線……………………………………………………..35

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黃冠仁，2003，我國上市公司股票購回宣告與同業股價關聯性之研究，國立中山大學財務管理研究所碩士論文。
許雪芳，2003，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。
陳妙珍，2003，私下募集債券之短期與長期財富移轉效果之研究，國立中央大學財務金融研究所博士論文。
游貞旋，2002，庫藏股宣告對同業股價影響之實證研究，國立成功大學國際企業管理研究所未出版碩士論文。

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