私下募集債券之短期與長期財富移轉效果之研究

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研究生：	陳妙珍 Miawjane Chen
論文名稱：	私下募集債券之短期與長期財富移轉效果之研究 Short-run and Long-run Performance in and following Private Debt Placements
指導教授：	周冠男 Robin K. Chou 陳聖賢 Sheng-Syan Chen
口試委員:
學位類別：	博士 Doctor
系所名稱：	管理學院 - 財務金融學系 Department of Finance
畢業學年度：	92
語文別：	英文
論文頁數：	96
中文關鍵詞：	私下募集債券、競爭者、購買並持有法、三因子模型、四因子模型
外文關鍵詞：	buy-and-hold abnormal return method, private placement debt, rivals, Carhard four-factor model, Fama and French three-factor model
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私下募集債券之短期與長期財富移轉效果之研究
一、私下募集債券對宣告公司及其競爭者之短期財富移
轉效果
本文旨在探討公司宣告私下募集不同債券時，宣告公司及其競爭者之財富移轉效果。結果顯示當公司宣告私下募集一般債券時，宣告公司及其競爭者之股價會有弱且顯著的負效果。競爭者的股價負效果顯示私下募集債券資訊屬於訊號效果，而非競爭效果，且此訊號效果具有異值性並未集中於少數產業。當控制其他變數後，此負效果仍然存在。且此負效果與宣告公司及其競爭者報酬的相關性成正向關係，但與競爭者的舉債程度成反向關係。然而，當公司宣告可轉換公司債時，宣告公司雖然產生正的股價效果，但此效果並不及於其競爭者，亦即此資訊既無訊號效果亦無競爭效果。
二、衡量私下募集債券之長期財富移轉效果與經營績效
本文旨在探討公司發行私下募集債券後，發行公司之長期股價與經營績效。研究結果顯示當採用購買且持有法、Fama的三因子模型和Carhart的四因子模型等三種方法，衡量發行公司私下募集一般債券或可轉換債券時，並無一致性的證據顯示發行公司存在長期超額報酬。其次，針對發行一般債券的公司而言，無論發行前或發行後，其經產業調整後的長期經營績效均顯著的優於其競爭公司；但無證據顯示發行公司存在選擇証券發行時點的現象，此結果可能導因於私下募集方式本身的特質。若針對發行可轉換公司債的公司而言，無論發行前或發行後，其經產業調整後的長期經營績效並無一致性的結果(大部份比同產業差)。當進一步探究成熟或機構投資人願意接受私下募集可轉換債券的投資動機時，發現成熟或機構投資人在發行公司發行私下募集的可轉換債券時，對發行公司當時的成長願景有過度樂觀的現象。

Short-run and Long-run Performance in and following Private Debt Placements
Essay 1: Wealth changes in private debt placements-announcers versus rivals
This study empirically estimates the effect on shareholder wealth when firms announced private debt placements of different types of security, straight debt and convertible debt. We find that private straight debt placement announcement lead to small but significantly negative stock price responses for both the announcing and rival firms, suggesting that the information-signaling effects dominate the competitive effects. However, no significant intra-industry effect on rival firms is observed for announcements of private convertible debt placement. Announcements of private straight debt placement have heterogeneous intra-industry effects. These results hold after other variables are controlled which could explain the intra-industry effects of private straight debt placements. Specifically, the negative effect is significantly larger for lower leveraged rival firms and rival firms where the returns of the announcing and rival firms are highly correlated.
Essay 2: Long-run stock price and operating performance following private debt placements
This study empirically examine the long-run stock-price and operating performance for firms offering straight and convertible debt through private placements. We find that, both of the firms that offering private straight debt placements or convertible debt placements do not show consistent evidence of long-run abnormal returns under the buy-and-hold abnormal return method, the Fama and French three-factor model or the Carhart four-factor model. Secondly, we find that the straight debt issuer performs significantly better than its industry counterpart does throughout the pre- and post-offer periods, for all the performance measures of IBER/sales, IBER/assets, IBER/equity, CE+RD/assets and M/B. However, we do not find evidence to support that a firm times their security issues during periods of relatively high operating performance and that the performance levels decline after issuing. A possible reason could be the special characteristics of private placement. Finally, we find that the private convertible debt issuer performs significantly worse than its industry counterpart in some of the pre- to post-intervals. In addition, we also find that firms do not experience any significant increase in operating performance prior to and after the offering of private convertible debt. The reason why sophisticated and institutional investors loan money to a company that does not perform better than its rivals. We have found that the sophisticated and institutional investors are overoptimistic about a firm’s growth prospects at the time of private convertible debt placement.

Contents
Acknowledgements
Abstract                                                                    I
Contents                                                                   IV
List of Tables                                                             VI
1 Introduction .............................................................1
2 Wealth Changes in Private Debt Placements-Announcers versus Rivals
2.1	Introduction ......................................................7
2.2	Theoretical and testable hypotheses...............................11
2.2.1 General Information Transfer Hypothesis.....................11
2.2.2 Intra-industry Information Transfer Hypothesis..............12
2.2.2.1 Information-signaling Hypothesis....................12
2.2.2.2 Competitive hypothesis..............................16
2.3 Sample Characteristics and Methodology.............................20
2.3.1 Sample characteristics.......................................20
2.3.2 Methodology..................................................21
2.3.2.1 Methodology for Calculating Abnormal Returns.........21
2.3.3.2 Methodology for Earning Forecast Revision............22
2.4 Empirical Results..................................................24
2.4.1 Announcing Firm Test Results for the Private Placement
of Convertible Debt and Straight Debt........................24
2.4.2 Interpretation of the CAR in the Private Placement of
Convertible debt and Straight Debt...........................25
2.4.2.1 Debt Rating and Private Placement of Convertible
Debt and Straight Debt...............................25
2.4.2.2 Earning Forecast Revisions and the Private Placement
of Convertible Debt and Straight Debt................27
2.4.3 Rival Firm Test Results for the Private Placement of
Convertible and Straight Debt................................29
2.4.4 A Comparison with Szewczyk’s Study (1992)...................31
2.4.5 Abnormal returns for each industry...........................32
2.4.6 Cross-sectional regression analysis of rival stock price
effects......................................................33
2.5 Conclusions........................................................38
References.............................................................41
Tables.................................................................45
3 Long-run Stock Price and Operating Performance following Private Debt Placements
3.1 Introduction......................................................56
3.2 Data and research methodology.....................................59
3.2.1 Data and sample selection...................................59
3.2.2 Research methodologies......................................61
3.2.2.1 Buy-and-hold abnormal return method.................61
3.2.2.2 Calendar time abnormal return method................64
3.3 Post announcement long-run abnormal returns.......................66
3.3.1 Buy-and-hold abnormal returns...............................66
3.3.2 Calendar-time abnormal returns..............................68
3.3.2.1 Fama and French three-factor model..................69
3.3.2.2 Carhart four-factor model...........................70
3.4 Operating performance.............................................71
3.4.1 Results of operating performance............................72
3.5 Conclusions.......................................................76
References............................................................78
Tables................................................................80
4.  Conclusions............................................................93
List of Tables
2.1 Sample distribution of private debt placements.........................45
2.2 Abnormal returns of private debt placements for announcing firms.......46
2.3 Abnormal returns for private placements of debt grouped by debt rating
and debt rating adjustments............................................47
2.4 Average and cumulative adjusted forecast revisions of current-year
earnings per share and five-year earning growth rates for the months
surrounding the private debt placements................................48
2.5 Abnormal returns of private placements for announcing firms'' rivals....49
2.6 Ab normal returns for the announcing and rival firms from Chen et al.
and Szewczyk...........................................................50
2.7 Abnormal returns of private convertible debt placements for each industry
in the sample..........................................................51
2.8 Abnormal returns of private straight debt placements for each industry
in the sample..........................................................52
2.9 Descriptive statistics for industry portfolio explanatory variables to
be used in the multivariate regression analysis for private straight
debt placement.........................................................54
2.10 Cross-sectional regression analysis of factors affecting the
announcement-period CARs of rivals in response to private debt
placements.............................................................55
3.1 Sample distribution of private placements of debt......................80
3.2 Long-run buy-and-hold abnormal returns for firms announcing the
private placement of straight debt.....................................81
3.3 Long-run buy-and-hold abnormal returns for firms announcing the
private placement of convertible debt..................................82
3.4 Long-run abnormal returns following private placements of straight debt
using the Fama-French calendar-time portfolio regressions..............83
3.5 Long-run abnormal returns following private placements of convertible
debt using the Fama-French calendar-time portfolio regressions.........84
3.6 Long-run abnormal returns following private placements of straight debt
using the Carhart four-factor model....................................85
3.7 Long-run abnormal returns following private placements of convertible
debt using the Carhart four-factor model...............................86
3.8 Operating performance before and after private placements of straigh
debt...................................................................87
3.9 Operating performance before and after private placements of convertible
debt...................................................................90

                                

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