私募宣告之股東財富效果-以上市公司為例

Abstract

以往私募股權國內研究論文樣本期間涵蓋政府開放私募初期，法令尚未完善可能造成私募宣告效果偏差；且樣本未排除同時宣告減資樣本，可能影響研究結果。本研究收集了自2005年10月金管會修訂私募相關法規後，至2008年12月底宣告辦理私募普通股之上市公司股票作為研究樣本，採用事件研究法之市場模型檢驗私募宣告對股東財富之影響。研究結果發現： 一、私募股權短期宣告效果方面： 事件日宣告前10日至宣告後10日累積平均異常報酬，及宣告次一日之累積平均異常報酬率亦為正值，且達顯著水準，顯示私募事件訊息具資訊內涵，對股東財富具正面影響。 本研究同時以2005年10月修訂資訊揭露規定之時間點前後比較，法令修訂前之私募案件短期累積平均異常報酬高於法令修訂後樣本。可見內部人於訊息公布前並未因此而獲得超額報酬，故主管機關強化價格揭露保護一般投資人，確有達到市場交易公平性。 二、私募股權長期宣告效果方面： 以私募宣告日後120日之累積平均異常報酬衡量私募公司長期股價績效發現，法令修訂前之私募案件長期累積平均異常報酬高於法令修訂後樣本。2005年10月以前私募宣告公司長期股價績效為正值但2005年10月以後私募宣告公司長期股價績效為負值，推測市場投資人對於私募股權公司營運績效改善有過度樂觀之情形。 三、影響私募短期宣告效果之因素方面： 迴歸分析發現，參與該次私募應募人取得之董監席次越多，累積平均異常報酬越高，且達顯著水準，支持監督假說 (Monitoring Hypothesis)。而私募公司曾出現財務危機，累積平均異常報酬率為正向變動，且達顯著水準，支持保證假說 (Certification Hypothesis)。另，實證結果發現私募內部人應募比例與累積平均異常報酬相關性並不顯著，無法支持利益掠奪假說 (Entrenchment Hypothesis)。

Since previous studies on private placement announcement covered the samples before new regulations which the Financial Supervisory Commission (FSC) announced in Oct. 2005, their results might be biased due to incomplete regulations. Some of these studies did not exclude samples that relate capital reduction announcements at the same time. This study examines the announcement samples of private equity placement, which was chosen from Oct. 2005 to the end of 2008. This study adopts the event study methodology using market model to examine the effect of private placement announcement on shareholders’ wealth. Results show that: 1.The short-run effects of private equity placement: The cumulative average abnormal return (CAAR) of private placement announcement and the announcement on the first day after announcement are both significantly positive. It shows placement can bring positive gains for shareholders. The CAAR of private placement announcement after announcement date is higher than that before announcement date. It shows the insiders can not obtain abnormal return before the private placement announcement. 2.The long-run effects of private equity placement: Using CAAR to measure long-run stock performance shows the CAAR before September 2005 is higher than that after October 2005. The CAAR before September 2005 is significant positive; however the CAAR after October 2005 is significant negative. It implicates the investors might be overoptimistic about the effect of private placement. 3.The impact of private placement on the short-run effects of factors announcement: Using multivariate regression, the higher CAAR would be obtained if the ratio of board of directors is higher. The ratio meets the significance level and supports the monitoring hypothesis. The firms have financial crisis, and thus the CAAR is higher. The financial crisis factor also meets the significance level and supports the certification hypothesis. The empirical finding shows the ratio of insider holdings of private placement is not significant and can not support entrenchment hypothesis.