Can We Get Premium by Publishing Information? Evidence from the Private Placement of Securities

• Main Authors: Chi-Fu, Chung, 鍾啟富
• Other Authors: Yao-Hsien, Li
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/58195083419154511846

碩士 === 中華大學 === 企業管理學系碩士班 === 102 === Taiwan in 2001 and 2002 passed the related amendatory provisions of Company Law and Securities Law respectively. That is the system of private placement of securities, which gave a new pipeline for the enterprise’s financing. Due to the procedure is simple and rapidly, enterprise’s private placement of securities has been prevalence recently. End to 2013 have 488 private placements of securities were applied, including 196 different companies. According to the hypothesis of efficient market, if the investors can recognize the value of enterprise public information, the information should be reflected and the excess profit should be disconnected in the stock price immediately. Due to the private placement of securities have ban on the transfer for three years. In order to explore if the reason of private placement of securities have excess profit, the study further to adopt Performance Attribution Model by Fama and French, that is market factor, size factor, book-to-market factor and momentum factor. This research aimed to analyze the effect of following : Whether those private placement of securities of listed were conform with efficient market, that is investors still could get excess profit from public market by public information after the period of lock up; Additionally, examine the return of hidden long-term risk adjusted after unlocking of private placement of securities. The results confirmed the private placement of securities of the listed after unlocking were not significantly better than the market share in the short-term rate of return, but after nearly 6 months, The result indicates that the private placement of securities of companies were better than the stock market in cumulative reward. It means the investors can get excess profit from public market by public securities market information. Moreover, after the pricing factor of the aggregate market risk was controlled, results show that the higher the risk premium securities, the significant the market risk pricing factor. The companies of smaller capital then large capital have more risk adjusted premium.