私募自民國九十一年開始實施以來，逐漸受到企業歡迎，成為企業向外募集資金的另外一個重要管道。然而，其異於公開募集資金的特性與法律規範，使得私募至目前為止尚存有一些爭議。本研究針對九十一年至九十六年之上市上櫃私募公司進行研究，探討其私募價格是否有明顯的折價或溢價狀況。此外，並探討此折(溢)價狀況是否與公司特性有關。最後，再檢驗私募發行時的折(溢)價幅度是否對公司未來長期股價異常報酬有影響。研究結果顯示，台灣私募平均而言以溢價發行，而公司特性方面，財務危機的發生、自由現金流量、私募次數均與私募折價比例成顯著正相關；而無形資產三變數中之兩變數亦與折價比例成顯著正相關。最後，私募折溢價的大小與長期平均異常報酬並無顯著相關性。

Since its debut in 2002 in Taiwan, private placement has become more and more popular for the corporate to collect capital in the market. However, because of its divergent characteristics and loose regulations, it has also aroused a great number of controversies so far. This study concentrates on the companies collecting capital by private placement from 2002 to 2007 and examines if obvious discount or premium on placement price existed in these cases. In addition, the study also examines the correlation between the degree of placement discount (premium) and firm characteristics. Finally, it will also be discussed if placement discount (premium) causes positive or negative effect on cumulative abnormal return of the firms. The empirical results show that on average a premium exists in placement price in Taiwan. As for firms’ characteristics, financial crisis, free cash flow, and times of placement have a positive correlation with the discount (premium) degree. Two out of three intangible variables also show a positive correlation with the discount (premium). degree. Finally, the degree of discount (premium) is not significantly correlated with long-term cumulative abnormal return of private placed firms.

第一章 緒論 1
第一節 研究目的與動機 1
第二節 研究流程 7
第二章 文獻探討 9
第一節 私募之宣告效果 9
第二節 私募之長期股價效果 10
第三節 私募之折溢價狀況 12
第四節 其他私募相關研究 13
第五節 研究假說推論 14
第三章 研究設計 20
第一節 研究架構 20
第二節 樣本描述 21
第三節 變數定義 24
第四節 研究方法 29
第四章 實證研究與探討 32
第一節 敘述性統計 32
第二節 相關性分析 36
第三節 折價與公司特性之迴歸 39
第四節 長期累計異常報酬與折價幅度之迴歸分析 42
第五章 結論 44
第一節 研究結論 44
第二節 研究貢獻 45
第三節 研究限制 46
第四節 研究建議 47
附錄 48
參考文獻 49

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