異常報酬、公司治理與私募股權折價之關係

A Research of Relationship among Abnormal Return, Corporate Governance and the Discount of Private Equity Placements

本研究以臺灣2005年至2015年間319家實施私募之公司為研究樣本，首先探討私募宣佈後之短期及長期報酬是否存在異常報酬現象；其次探討異常報酬、公司治理與私募股權折價之關係。研究結果顯示，私募後存在短期正向異常報酬；而長期則存在負向異常報酬。研究亦發現私募公告前六個月平均異常報酬愈高時，對私募公司愈有利，則折價幅度愈小；當我們同時考慮異常報酬與公司治理變數時，研究結果發現當大股東質押比率愈高，投資人傾向支付較低之價格，折價幅度愈大；外部監察人席次比率愈高，折價幅度愈小（僅限於股東會決議日前5日）；法人持股率愈高，折價幅度愈小（僅限於私募定價後5日與10日）。

In this study, we set out to examine whether there are short-run and long-run abnormal returns following public announcements of 319 private equity placements Taiwan during the 2005-2015 period. We analyzed the relationships among the abnormal return, corporate governance and the discount of private equity placements. We found positive abnormal returns in the short-run period around the announcement of a private placement but negative abnormal returns in the relatively long-run period following the announcement of a private placement. A higher average of monthly abnormal returns over the six months prior to the announcement of a private placement is related to a smaller price discount. When controlling for 6-month abnormal return prior to the private placement and corporate governance variables, a higher collateralized ratio by block shareholders would have a larger discount of the equity. A higher ratio of external supervisor seats over all supervisor seats resulted in a smaller price discount (the 5-th day before the shareholders' meeting date). Finally, a higher ratio of institutional ownership was related to a smaller discount (closing price on the 5-th and 10-day after the pricing date).