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論文中文名稱:私募股權之宣告效果 -以台灣及香港為例 [以論文名稱查詢館藏系統]
論文英文名稱:The Effects of Announcement of Private Replacement [以論文名稱查詢館藏系統]
院校名稱:臺北科技大學
學院名稱:管理學院
系所名稱:經營管理系碩士班
畢業學年度:103
畢業學期:第二學期
中文姓名:蔡珮蓉
英文姓名:Tsai pei-jung
研究生學號:101578004
學位類別:碩士
指導教授中文名:林鳳儀
口試委員中文名:葉清江;劉芬美
中文關鍵詞:私募股權、宣告效果、事件研究法
英文關鍵詞:Private Equity, Announcement Effect, Event Study
論文中文摘要:有別於過去文獻多僅檢驗私募之短期宣告效果和私募折(溢)價發行之市場反應,本研究主要目的在探討私募股權之宣告效果,觀察新興市場(台灣、香港)之私募狀況是否與已開發市場(美國)之私募市場具有相同特性,以及是否符合國外學者提出之假設,並且探討影響長短期累積平均異常報酬之可能因素。以事件研究法和最小平方法進行實證,結論歸納如下: (1)台灣之私募宣告效果具有提前發酵的狀況,私募宣告日前三天至當日之累積平均異常報酬為正;長期亦具有正向累積平均異常報酬。(2)香港之短期累積平均異常報酬為2.3%;長期累積平均異常報酬則為負。(3)台灣之短期與長期累積平均異常報酬與研發費用比率呈負相關;與股東權益報酬率呈正相關。(4)香港之短期與長期累積平均異常報酬與股東權益報酬率呈正相關。台灣以電子產業為主;香港為服務型經濟。台灣之資訊揭露時為董事會決議日起二日內;香港對於公司訊息之宣告,發行人除了必須披露與宣告事件相關之其他資料外,還須及時公開披露股價敏感資料,且發行人披露資料的方式,也不得導致任何人士在證券買賣上處於有利地位,必須讓市場有時間消化最新的資料,使市場定出能反映實況的證券價格。市場的自由度與產業比重造成台灣與香港其短期和長期平均異酬報酬率有不同的結果。
論文英文摘要:Most of the studies discuss about the short term announcement effect and the private placement selling with premium or discount. This study not only discuss the short term announcement effect and long run performances, but also explore which factors influence the cumulative abnormal average returns of emerging market in Taiwan and Hong Kong. The event study and ordinary least squares are applied. The results are as follows. Firstly, Taiwan’s announcement effect arouse earlier before the announcement day. Corporate valuation hypothesis supports that cumulative abnormal average returns is 0.06% from three days before the announcement day to the announcement day. Under monitoring effect, 250 days after the announcement day, cumulative abnormal average returns is still positive. Secondly, under-react hypothesis supports that cumulative abnormal average returns is 2.3% from one days before the announcement day to three days after announcement day in Hong Kong. However, investors are too optimistic about the performance of the private company, cumulative abnormal average returns is negative in the long run. Thirdly, Taiwan’s short term and long term CAR are negatively related with R&D Ratio(RD), and positively related with return on equity(ROE). Finally, Hong Kong’s short term and long term CAR are positively related with return on equity(ROE).
論文目次:中文摘要 i
英文摘要 ii
誌謝 iiv
目錄 v
表目錄 vii
圖目錄 viii
第一章 緒論 1
1.1研究背景與動機 1
1.2研究目的 4
1.3研究貢獻 4
1.4論文流程 5
第二章 私募制度與文獻探討 7
2.1私募制度 7
2.2私募之宣告效果 11
2.2.1私募之長期股價表現 17
2.3影響私募異常報酬之可能因素 22
第三章 研究假說與方法 29
3.1研究假說 29
3.2研究樣本 33
3.2.1樣本選取 33
3.2.2資料來源 33
3.2.3產業類別 33
3.3事件研究法 37
3.3.1異常報酬率之估計 39
3.3.2異常報酬率之檢定 40
3.4 OLS迴歸模型 42
第四章 實證結果與分析 48
4.1敘述性統計與相關係數分析 48
4.1.1敘述性統計 48
4.1.2Pearson相關係數檢定 52
4.2宣告效果之實證結果 54
4.3影響異常報酬之實證結果 62
第五章 結論與建議 68
5.1結論 68
5.1.1研究結論 68
5.1.2投資與管理意涵 71
5.2後續研究建議 72
參考文獻 73
論文參考文獻:參考文獻

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論文全文使用權限:同意授權於2017-04-08起公開