美國上市公司發行私募股票前後融券餘額比率變化之研究

An Empirical Investigation of Short Interest Changes around Private Placements of Common Stocks

本研究收集股票私募契約和其它向美國證管會申報之公司檔案為研究樣本，實證結果顯示，當私募最大買者為法人機構時融券餘額較私募最大買者為自然人時融券餘額有顯著增加，私募契約有保障私募股票註冊登記權之條款較私募契約無此保障條款融券餘額有顯著增加，私募發行公司有股票選擇權在交易所買賣其融券餘額較其他私募發行公司融券餘額有顯著增加。另外，融券餘額的增加和公司過去短期報酬成正相關和公司淨值市價比成負相關。 Using sample data gathered directly from private placement contracts and SEC filings, this paper shows that short interest increases are significantly larger for placements sold to dominant institutional investors than for placements sold to dominant individual investors. Issuing firms that grant registration rights to investors experience significantly larger short interest increases than firms that do not grant these rights to investors. Firms with exchange-traded stock options experience significantly larger short interest increases than firms without exchange-traded stock options. This paper shows that short interest increases are positively related to past returns and negatively related to the book-to-market ratio.