私下募集債券之長期財富移轉效果與經營績效之研究

Long-run Stock Returns and Operating Performance Following Private Debt Placements

本文旨在探討公司私下募集債券後之長期股價與經營績效。過去研究顯示公司發行權益證券或公開發行債券，發行公司之長期股價及經營績效均表現不佳，歸因於管理者選擇證券發行時機或投資人過度自信。相反地，一般而言私下募集債券之投資人較有經驗且可有效地監督發行公司營運，長期的績效應相對較佳。然而，本研究結果發現無論研究方法採用持有期間累積異常報酬法、Fama的三因子模型或Carhart的四因子模型，發行公司私下募集債券並無一致性的證據顯示存在長期超額報酬，或發行前後的長期經營績效優於其競爭公司，故無證據顯示管理者選擇證券發行時機或投資人過度自信的現象，此結果可能是私下募集方式本身可降低資訊不對稱及有效地監督公司的特質所致。

This study examines the long-run stock return and operating performance following private debt placements. Presumably, private debt investors are more sophisticated and can monitor the issuing firms more effectively. Prior research suggests that equity and public debt issuers underperform various stock return benchmarks in the long run. It is also found that there is significant deterioration in long-run operating performance for equity and public debt offering firms. It is generally concluded that managers time the market when issuing equity and public debt or investor over-confidence. In contrast, using the buy-and-hold method, Fama three-factor model, or Carhart four-factor model, we do not find any consistent patterns of long-run under- or over-performance in stock returns and operating measures following private debt placements. Due to tighter monitoring, the information asymmetry problems are mitigated for private debt placements.