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標題: | 私募前後獨特性波動、控制股東對私募折價及異常報酬影響 Private Equity Placement: Idiosyncratic Volatility, Controlling Shareholders' Effects on Discount and Abnormal Returns |
作者: | Yin-li Wu 吳吟蒞 |
指導教授: | 胡星陽 |
關鍵字: | 私募,獨特性波動,控制股東, Private placement,Idiosyncratic volatility,Controlling shareholder, |
出版年 : | 2011 |
學位: | 碩士 |
摘要: | 本文研究公司私募普通股對於獨特性波動是否造成改變,並探討控制股東參與私募是否會對私募折價及異常報酬產生影響。實證結果發現,私募宣告前後一年之獨特性波動並無顯著改變。而控制股東主導之私募案,其折價幅度與外部人主導時無顯著差異。但是當控制股東為主要應募人,而且股份盈餘偏離倍數越大時,私募折價幅度越高;相對於主要應募人為外部人時,若股份盈餘偏離程度越小,公司願意以較大之折價幅度吸引外部人參與私募。異常報酬方面,控制股東應募過半與任一外部人應募達除權後普通股總數5%之樣本,一年後有顯著正的累積異常報酬。 This paper examines whether there is a change in firms’ idiosyncratic volatility following the announcement of private equity placements, and studies the relationship between controlling shareholders and the discount of the placement as well as stock returns. The results show firstly that idiosyncratic volatility does not change significantly following the announcement using one-year event window. Secondly, controlling shareholders do not enjoy higher discount in the placement comparing with outsiders. Besides, the discount reacts differently to the deviation of control rights from cash flow rights under different dominant types of investors. Discount reacts positively to the deviation when controlling shareholders are dominant investors, while it reacts negatively when outsiders are the dominant type. Thirdly, one-year cumulative abnormal return is significantly positive in which shares offered in the placement are sold to controlling shareholders for more than 50% or to one outsider for more than 5% of shares outstanding. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/7036 |
全文授權: | 同意授權(全球公開) |
顯示於系所單位: | 財務金融學系 |
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