私募股權之異常報酬探討

Abstract

自從民國九十一年一月十六日三讀通過「證券交易法部分條文修正草案」後，私募制度正式成為我國企業籌資的另一項新管道，私募的優點是籌資時間短、節省承銷費用、相對於公開募集更具彈性、不必揭露大量的內部資訊、以及增加監督能力及解決資訊不對稱等問題。時至今日，台灣已有近百家上市櫃公司進行過私募股權的行為。 私募股權會造成公司價值變動的原因主要分成「股權結構假說」與「資訊不對稱假說」，之前已有國外文獻針對這些造成私募股權異常報酬的因素做討論。本研究首先針對在台灣地區私募股權採取溢價發行或是折價發行做檢定，接著採用事件研究法，分別以「觀測站公佈日」、「股東會同意日」、「私募定價日」、「價款收足日」四個時點為事件日，檢定在這四個事件期中私募股權是否帶來了顯著的異常報酬，最後整理國外文獻中討論影響私募股權異常報酬的因素，代入台灣市場內檢驗這些因素是否也會顯著的影響私募股權的異常報酬，提出異常報酬之合理解釋。 本文研究結果發現，台灣地區私募股權在上述四個事件日皆採取折價發行，且折價幅度顯著為正(顯著水準為1%)。且私募股權在「股東會同意日」、「私募定價日」、「價款收足日」皆有顯著的異常報酬，在「觀測站公佈日」雖然也有異常報酬但是並不顯著。再分別以事件日前30日至事件日後30日及事件日前2日至事件日後2日的平均異常報酬作為應變項，與十二個自變項作迴歸分析，結果發現私募規模、股價淨值比、市值規模、公司年齡、私募後股權集中程度與異常報酬呈現顯著的負向關係，折價幅度與異常報酬呈現顯著的正向關係，皆與文獻結果一致；私募比例、投資機會、財務危機、經理人應募比例則隨著事件日的不同有不同的影響方向。

Private equity placement is an emerging way for corporations to fund. It saves time and costs, and is more flexible than public offering. Additionally, it does not have to disclose too much inside information and can solve the problem of information asymmetry. Until now, there have been almost one hundred Taiwanese companies raising money via this method. Based on “the hypothesis of equity structure” and “the hypothesis of information asymmetry”, private equity placement changes the value of corporation. In recent years, there have been already many foreign academic studies focusing on the factors influencing the abnormal return of private equities. The first part of the study is to examine if the private equities are issued at premium or discount in the beginning. Then we use “event study” to check if abnormal returns exist in these private equities. In the third part, we collect the factors causing the abnormal return from foreign studies, and use simple regression model to see if these factors have the same effects on private equities in Taiwan. We found that private equities in Taiwan were mostly sold at discount. Besides, the phenomenon of abnormal returns indeed occurred in some of these equities. We also found that the scale of private equity, P/B ratio, the scale of market value of company, the age of company, and the degree of concentration of equities have significant negative effects on abnormal returns. In the contrast, the discount has significant positive effect on abnormal return. These are all consistent with the results of foreign researches. However, the ratio of private equities, investment opportunity, financial crisis, and the ratio of manager to buy the private equities have different effects on private equities based on different estimated periods, and we also offer some explanations in this essay.