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.
