五、 結論與建議
5.2 研究建議
雖主管機關已透過法令規定加強私募管理制度，並於公開資訊觀測站建置私 募專區加強資訊揭露多年，但未針對私募案件進行統計及彙整。在取得研究樣本 資料時仍須逐一對照經濟新報資料庫各家公司資本形成經過，以瞭解私募股權公 司已納入樣本。另因私募案自股東會決議日起一年內均可辦理，在該期間往往伴 隨減資或其他增資案件，可能影響長期股價績效衡量，建議後續研究者在取得研 究樣本時可將私募宣告後有減資或其他增資案件列入交叉分析，以求更精確判讀 私募對股東財富長期影響。
本研究對監督假說並未檢驗私募宣告後股權集中度對異常報酬之影響，建議 後續研究者可納入此變數進行分析。
參考文獻
一、中文部分
1. 沈中華、李建然，事件研究法：財務與會計實證研究必備。台北市：華泰文化 事業股份有限公司，民國89 年。
2. 呂季蓉，「台灣上市上櫃公司私募之研究-論私募對象之影響」，國立中山大學 財務管理學系碩士班碩士論文，民國94 年 7 月。
3. 李協昌，「上市公司私募股權之資訊內涵及折價因素之探討」，國立台灣大學 會計學系研究所碩士論文，民國95 年 6 月。
4. 林育安，「私募股權之資訊內涵：上市(櫃)公司之實證研究」，國立台灣大學 國際企業學研究所碩士論文，民國95 年 7 月。
5. 林郁姍，「私募股權與長短期股票報酬之探討」，國立中興大學會計學研究所 碩士論文，民國97 年。
6. 徐婉甯，「財務分析師跟隨效果與私募宣告發行後公司績效之關聯性」，國立 成功大學國際企業研究所碩士論文，民國95 年。
7. 張文魁，「股權結構對私募發行公司價值影響之分析」，國立政治大學財務管 理學系碩士班碩士論文，民國95 年 6 月。
8. 許雪芳，「上市(櫃)公司私募之研究」，國立中山大學財務管理研究所碩士論 文，民國92 年 6 月。
9. 莊小君，「私募宣告之股東財富及折溢價幅度研究」，天主教輔仁大學金融研 究所在職專班碩士論文，民國97 年 7 月。
10. 鍾惠民、吳壽山、周賓凰、范懷文，財金計量-第九章事件研究法。台北市：雙 葉書廊有限公司，民國96 年。
二、英文部分
1. Barclay, M. J., Holderness C.G., and Sheehan D.P., 2001, “The block pricing puzzle”, Working Paper, Simon School of Business, No. F 01-05.
2. Barclay, M. J., Holderness C.G., and Sheehan D.P., 2003, “Private placements and managerial entrenchment”, Unpublished Working Paper, Boston College.
3. Barclay, M. J., Holderness C.G., and Sheehan D.P., 2007, “Private placements and managerial entrenchment”, Journal of Corporate Finance, 13(4), 461-484.
4. Chen, S. S., K.W. Ho, C. F. Lee and G.H.H. Yeo, 2002, “Long-run stock
performance of equity-issuing firms: the case of private placements in Singapore”, Review of Pacific Basin Financial Markets & Policies, Vol.5, Iss.3, pp. 417-438.
5. Dann, L.Y. and H. DeAngelo, 1988, “Corporate Financial Policy and Corporate Control: A study of Defensive Adjustments in Asset and Ownership Structure”, Journal of Financial Economics, Vol.20, 87-128.
6. Demsetz, H., 1983, “The structure of ownership and the theory of the firm”, Journal of Law and Economics 26, 375- 390.
7. Folta, T.B. and Janney J.J., 2004, “Strategic benefits to firms issuing private equity placements”, Strategic Management Journal, 25(3), 223-242.
8. Hertzel, M., Lemmon, M., Linck, J.S., and Rees, L., 2002, “Long-term performance following private placements of equity”, Journal of Finance, 57 , 2595-2617.
9. Hertzel, M. and Smith R.L., 1993, “Market discounts and shareholder gains for placing equity”, Journal of Finance, 48(2), 459-485.
10. Hertzel, M. and Rees L., 1998, “Earnings and risk changes around private
placements of equity”, Journal of Accounting, Auditing, and Finance, 13(1), 21-35.
11. Jensen, M. and R. Ruback, 1983, “The market for corporate control: The scientific evidence”, Journal of Financial Economics 11, 5-50.
12. Krishnamurthy, S., P. Spindt, V. Subramaniam and T. Woidtke, 2004, “Does investor identity matter in equity issues? Evidence from private placements”, Journal of Financial Intermediation, Vol.14, Iss.2, pp.210-238.
13. Sheng-Syan Chen, Kim Wai Ho, Cheng-few Lee, and Gillian H.H. Yeo, 2002,
“Wealth Effects of Private Equity Placements: Evidence from Singapore”, The Financial Review 37, 165-184.
14. Spiess, D. K., and J. Affleck-Grave, 1999, “The long-run performance of stock returns following debt offering”, Journal of financial economics, Vol.54, Iss.1, pp.45-73.
15. Wruck, K.H., 1989, “Equity ownership concentration and firm value: Evidence from private equity financings”, Journal of Financial Economics, 23, 3-28.
16. Wu, X.P., Wang Z., and Yao, J., 2005, “Understanding the Positive Announcement Effects of Private Equity Placements: New Insights from Hong Kong Data”, Review of Finance, 9(3): 385-414.
附錄
附表1：長期 AAR[-7,+120]檢定結果-法令修訂前後樣本比較
事件日 2005.10 前樣本 t 值 2005.10 後樣本 t 值
-7 -0.1107 -0.1798 -0.2993 -0.6934 -6 0.5860 0.9536 0.0178 0.0413 -5 1.2278 1.9971** 0.2598 0.6019 -4 0.2934 0.4770 0.5655 1.3116 -3 0.0768 0.1249 -0.2118 -0.4907 -2 -1.0033 -1.6308 0.3977 0.9218 -1 0.2552 0.4150 -0.8681 -2.0104**
0 0.6121 0.9966 0.5455 1.2650 1 -0.5948 -0.9664 0.5867 1.3610 2 0.5080 0.8268 0.0711 0.1649 3 0.1855 0.3012 0.3788 0.8779 4 0.6795 1.1029 0.5315 1.2318 5 0.9288 1.5104 0.1080 0.2501 6 1.2171 1.9782** 0.2664 0.6172 7 0.4801 0.7809 -0.0267 -0.0618 8 0.4538 0.7384 -0.3174 -0.7361 9 -0.2354 -0.3832 -0.3470 -0.8048 10 -0.3039 -0.4944 0.5688 1.3194 11 0.3527 0.5736 0.5463 1.2665 12 -0.1199 -0.1949 0.8460 1.9602**
13 0.5034 0.8194 -0.2186 -0.5070 14 0.8870 1.4420 -0.7086 -1.6426 15 -0.1426 -0.2320 -0.6153 -1.4273 16 0.4410 0.7162 -0.2445 -0.5671 17 -0.5378 -0.8744 0.1007 0.2335 18 0.3277 0.5331 0.4606 1.0664 19 0.2362 0.3839 -0.0462 -0.1072 20 -0.6913 -1.1243 -0.2505 -0.5782 21 -0.8841 -1.4390 -0.5285 -1.2256 22 -0.7471 -1.2144 0.4034 0.9348 23 -0.7004 -1.1399 0.2773 0.6405 24 0.0218 0.0355 -0.7015 -1.6245 25 0.5992 0.9742 0.3011 0.6981
事件日 2005.10 前樣本 t 值 2005.10 後樣本 t 值
26 -0.6404 -1.0416 -0.0898 -0.2080 27 -0.6069 -0.9867 -0.4388 -1.0161 28 -1.4602 -2.3743** -0.7234 -1.6766*
29 0.1179 0.1917 0.6294 1.4580 30 1.0411 1.6945* 0.2578 0.5977 31 0.0463 0.0753 -0.1616 -0.3737 32 0.4672 0.7596 -0.0323 -0.0749 33 -0.1207 -0.1965 -0.0989 -0.2288 34 -0.0643 -0.1046 0.0816 0.1889 35 0.8317 1.3538 -0.3455 -0.7999 36 0.1236 0.2008 -0.6062 -1.4055 37 0.5710 0.9293 0.1150 0.2654 38 0.7805 1.2700 -0.3810 -0.8823 39 0.5784 0.9409 -0.3339 -0.7728 40 1.2462 2.0281** 0.2681 0.6195 41 -0.6241 -1.0158 0.5732 1.3264 42 -0.4582 -0.7451 -0.4656 -1.0778 43 0.5388 0.8768 -0.0986 -0.2283 44 0.0382 0.0622 0.1453 0.3363 45 -0.1369 -0.2227 -0.0397 -0.0922 46 0.9803 1.5949 -0.0623 -0.1440 47 0.1446 0.2354 -0.0080 -0.0185 48 0.7408 1.2058 0.2192 0.5053 49 -0.7547 -1.2272 0.2067 0.4785 50 -0.2242 -0.3646 -0.3124 -0.7188 51 1.7491 2.8467*** 0.8342 1.9265 52 0.5778 0.9400 -0.1981 -0.4585 53 0.0940 0.1528 -0.2661 -0.6150 54 -0.7270 -1.1829 0.1916 0.4423 55 0.5537 0.9015 -0.4410 -1.0188 56 -0.2575 -0.4189 0.6147 1.4221 57 -0.3605 -0.5860 -0.2498 -0.5792 58 0.4857 0.7907 -0.6431 -1.4906 59 -1.0139 -1.6505* 0.6973 1.6139 60 -0.1108 -0.1803 0.2743 0.6357 61 -0.5245 -0.8536 -0.4108 -0.9513
事件日 2005.10 前樣本 t 值 2005.10 後樣本 t 值
62 -0.2405 -0.3904 -0.4381 -1.0103 63 0.0621 0.1011 -0.6449 -1.4915 64 -0.1769 -0.2878 -0.3257 -0.7525 65 -0.2245 -0.3642 0.2978 0.6902 66 -1.1782 -1.9155* -0.0442 -0.1023 67 -0.6528 -1.0627 1.0457 2.4140**
68 -0.0168 -0.0273 -0.2388 -0.5535 69 1.2314 2.0022** 0.3154 0.7307 70 0.0163 0.0265 0.1296 0.2999 71 0.3979 0.6453 0.8311 1.9211*
72 0.2098 0.3408 0.7154 1.6565*
73 0.6133 0.9970 0.4721 1.0945 74 -0.5656 -0.9196 -0.2043 -0.4734 75 -0.4892 -0.7949 -0.2014 -0.4656 76 0.5107 0.8314 0.2679 0.6210 77 -0.3663 -0.5959 -0.6739 -1.5520 78 -0.8110 -1.3199 -0.2322 -0.5372 79 -0.7772 -1.2646 -0.4352 -1.0049 80 0.4254 0.6924 0.4230 0.9749 81 0.0652 0.1061 0.4018 0.9305 82 -0.7748 -1.2603 -0.6067 -1.4036 83 0.4097 0.6669 -0.7089 -1.6408 84 0.2035 0.3312 -0.0645 -0.1494 85 -0.0426 -0.0693 -0.1549 -0.3582 86 1.1384 1.8519* 0.0402 0.0930 87 -0.4100 -0.6660 -0.5029 -1.1619 88 1.2774 2.0778** -0.6407 -1.4840 89 0.3965 0.6442 -0.0928 -0.2143 90 -0.4756 -0.7734 -0.3063 -0.7074 91 0.0056 0.0091 -0.0157 -0.0362 92 -0.2530 -0.4117 -0.0299 -0.0690 93 -0.1535 -0.2497 -0.3841 -0.8812 94 0.2592 0.4214 -0.5882 -1.3627 95 -0.0261 -0.0425 -0.0173 -0.0402 96 0.2416 0.3931 -0.3893 -0.9050 97 0.4860 0.7911 -0.5307 -1.2338
事件日 2005.10 前樣本 t 值 2005.10 後樣本 t 值
98 0.1349 0.2194 0.6147 1.4274 99 0.8954 1.4571 -0.4283 -0.9938 100 -0.6939 -1.1283 -0.6558 -1.5253 101 -0.5597 -0.9105 0.1916 0.4452 102 0.1009 0.1642 -0.4929 -1.1461 103 0.2900 0.4721 -0.3393 -0.7859 104 -0.2310 -0.3758 -0.4342 -1.0082 105 0.0049 0.0080 -0.4772 -1.1099 106 -0.5098 -0.8298 -1.1299 -2.6232***
107 1.0255 1.6650* 0.0146 0.0340 108 -0.1019 -0.1657 0.1685 0.3991 109 0.3880 0.6315 0.6931 1.6374 110 1.1358 1.8479* 0.7921 1.8767*
111 1.2461 2.0274** 0.9151 2.1655**
112 0.1135 0.1847 -0.8739 -2.0700**
113 0.0821 0.1336 0.0057 0.0135 114 -0.4036 -0.6566 -0.3286 -0.7776 115 0.0429 0.0697 0.6225 1.4758 116 0.8349 1.3584 -0.1932 -0.4573 117 -0.0874 -0.1422 0.6932 1.6412 118 1.0405 1.6921* 0.0212 0.0501 119 0.2034 0.3309 0.0150 0.0356 120 -0.6217 -1.0105 0.0853 0.2018 註：*，**及***分別表示顯著水準為 10%，5%及 1%（雙尾 t 值檢定）
附表2：長期 CAAR[-7,+120]檢定結果-法令修訂前後樣本比較 事件日 2005.10 前樣本 t 值 2005.10 後樣本 t 值
-7 -0.1107 -0.1798 -0.2993 -0.6934 -6 0.4754 0.7736 -0.2815 -0.6520 -5 1.7032 2.7703*** -0.0217 -0.0501 -4 1.9966 3.2463*** 0.5439 1.2614 -3 2.0733 3.3729*** 0.3321 0.7694 -2 1.0701 1.7394* 0.7298 1.6916*
-1 1.3252 2.1553** -0.1383 -0.3203 0 1.9373 3.1543*** 0.4072 0.9443 1 1.3426 2.1815** 0.9939 2.3056**
2 1.8506 3.0118*** 1.0650 2.4701**
3 2.0361 3.3063*** 1.4438 3.3458***
4 2.7156 4.4074*** 1.9753 4.5783***
5 3.6443 5.9268*** 2.0833 4.8236***
6 4.8614 7.9015*** 2.3497 5.4433***
7 5.3415 8.6880*** 2.3230 5.3781***
8 5.7954 9.4289*** 2.0056 4.6512***
9 5.5600 9.0495*** 1.6586 3.8471***
10 5.2561 8.5524*** 2.2274 5.1666***
11 5.6087 9.1225*** 2.7738 6.4301***
12 5.4888 8.9167*** 3.6197 8.3872***
13 5.9922 9.7534*** 3.4011 7.8892***
14 6.8792 11.1828*** 2.6925 6.2415***
15 6.7367 10.9633*** 2.0773 4.8187***
16 7.1777 11.6557*** 1.8327 4.2506***
17 6.6399 10.7972*** 1.9335 4.4812***
18 6.9676 11.3356*** 2.3940 5.5430***
19 7.2038 11.7073*** 2.3478 5.4456***
20 6.5125 10.5918*** 2.0974 4.8415***
21 5.6284 9.1613*** 1.5689 3.6383***
22 4.8813 7.9342*** 1.9722 4.5707***
23 4.1809 6.8049*** 2.2496 5.1960***
24 4.2028 6.8334*** 1.5480 3.5845***
25 4.8019 7.8078*** 1.8491 4.2875***
26 4.1615 6.7683*** 1.7593 4.0748***
27 3.5546 5.7792*** 1.3205 3.0575***
事件日 2005.10 前樣本 t 值 2005.10 後樣本 t 值
28 2.0945 3.4058*** 0.5970 1.3837***
29 2.2124 3.5958*** 1.2264 2.8410***
30 3.2536 5.2953*** 1.4842 3.4413***
31 3.2999 5.3698*** 1.3227 3.0592***
32 3.7671 6.1244*** 1.2904 2.9930***
33 3.6464 5.9361*** 1.1915 2.7561***
34 3.5821 5.8274*** 1.2731 2.9458***
35 4.4138 7.1847*** 0.9276 2.1474**
36 4.5373 7.3745*** 0.3213 0.7450 37 5.1083 8.3133*** 0.4363 1.0072 38 5.8889 9.5817*** 0.0553 0.1281 39 6.4673 10.5200*** -0.2786 -0.6448 40 7.7135 12.5533*** -0.0105 -0.0243 41 7.0893 11.5375*** 0.5627 1.3020 42 6.6311 10.7831*** 0.0971 0.2247 43 7.1699 11.6672*** -0.0015 -0.0035 44 7.2082 11.7299*** 0.1438 0.3329 45 7.0712 11.4997*** 0.1041 0.2415 46 8.0515 13.0996*** 0.0418 0.0967 47 8.1961 13.3417*** 0.0338 0.0783 48 8.9369 14.5463*** 0.2530 0.5833 49 8.1822 13.3040*** 0.4597 1.0640 50 7.9580 12.9445*** 0.1473 0.3390 51 9.7071 15.7984*** 0.9815 2.2667**
52 10.2849 16.7315*** 0.7835 1.8139*
53 10.3789 16.8801*** 0.5174 1.1956 54 9.6519 15.7037*** 0.7089 1.6367 55 10.2056 16.6151*** 0.2680 0.6191 56 9.9481 16.1853*** 0.8827 2.0421**
57 9.5876 15.5831*** 0.6329 1.4678 58 10.0733 16.3965*** -0.0102 -0.0236 59 9.0595 14.7481*** 0.6871 1.5903 60 8.9487 14.5653*** 0.9614 2.2285**
61 8.4242 13.7095*** 0.5506 1.2748 62 8.1837 13.2816*** 0.1125 0.2594 63 8.2458 13.4223*** -0.5324 -1.2314
事件日 2005.10 前樣本 t 值 2005.10 後樣本 t 值
64 8.0689 13.1253*** -0.8582 -1.9825**
65 7.8444 12.7258*** -0.5603 -1.2985 66 6.6662 10.8379*** -0.6045 -1.3988 67 6.0134 9.7891*** 0.4411 1.0184 68 5.9966 9.7445*** 0.2024 0.4691 69 7.2280 11.7527*** 0.5177 1.1996 70 7.2443 11.7915*** 0.6473 1.4980 71 7.6422 12.3930*** 1.4784 3.4174***
72 7.8519 12.7565*** 2.1938 5.0796***
73 8.4652 13.7614*** 2.6659 6.1809***
74 7.8996 12.8440*** 2.4616 5.7025***
75 7.4105 12.0430*** 2.2602 5.2270***
76 7.9212 12.8955*** 2.5281 5.8607***
77 7.5549 12.2916*** 1.8542 4.2702***
78 6.7438 10.9748*** 1.6220 3.7528***
79 5.9666 9.7078*** 1.1868 2.7402***
80 6.3920 10.4035*** 1.6098 3.7102***
81 6.4572 10.5067*** 2.0116 4.6585***
82 5.6824 9.2423*** 1.4049 3.2504***
83 6.0920 9.9181*** 0.6960 1.6110 84 6.2955 10.2451*** 0.6315 1.4625 85 6.2530 10.1798*** 0.4766 1.1023 86 7.3914 12.0240*** 0.5168 1.1957 87 6.9814 11.3407*** 0.0140 0.0323 88 8.2588 13.4331*** -0.6267 -1.4516 89 8.6553 14.0614*** -0.7195 -1.6617*
90 8.1798 13.3026*** -1.0258 -2.3692**
91 8.1854 13.3123*** -1.0415 -2.4027**
92 7.9323 12.9051*** -1.0714 -2.4722**
93 7.7788 12.6546*** -1.4555 -3.3395***
94 8.0380 13.0703*** -2.0437 -4.7344***
95 8.0119 13.0383*** -2.0610 -4.7951***
96 8.2535 13.4277*** -2.4503 -5.6962***
97 8.7394 14.2271*** -2.9810 -6.9301***
98 8.8743 14.4373*** -2.3663 -5.4948***
99 9.7697 15.8985*** -2.7946 -6.4849 ***
事件日 2005.10 前樣本 t 值 2005.10 後樣本 t 值
100 9.0758 14.7567*** -3.4504 -8.0249***
101 8.5161 13.8550*** -3.2589 -7.5733***
102 8.6170 14.0220*** -3.7518 -8.7232***
103 8.9070 14.5008*** -4.0911 -9.4760***
104 8.6761 14.1160*** -4.5252 -10.5083***
105 8.6810 14.1111*** -5.0024 -11.6336***
106 8.1712 13.3021*** -6.1323 -14.2371***
107 9.1967 14.9314*** -6.1177 -14.2104***
108 9.0949 14.7938*** -5.9492 -14.0937***
109 9.4829 15.4354*** -5.2561 -12.4172***
110 10.6186 17.2760*** -4.4640 -10.5766***
111 11.8648 19.3036*** -3.5490 -8.3986***
112 11.9783 19.4918*** -4.4229 -10.4758***
113 12.0603 19.6284*** -4.4172 -10.4444***
114 11.6568 18.9651*** -4.7457 -11.2327***
115 11.6996 19.0324*** -4.1233 -9.7758***
116 12.5345 20.3944*** -4.3165 -10.2156***
117 12.4471 20.2463*** -3.6233 -8.5780***
118 13.4875 21.9342*** -3.6021 -8.5275***
119 13.6910 22.2711*** -3.5871 -8.4979***
120 13.0693 21.2450*** -3.5018 -8.2831***
註：*，**及***分別表示顯著水準為 10%，5%及 1%（雙尾 t 值檢定）