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標題: 以二貝他模式解釋增資後長期績效
Applying the Two-beta Model to Explain the Long-run Performance of Firms following Seasoned Equity Offerings
作者: Yi-Ting Su
關鍵字: 現金增資;現金流量貝他;折現率貝他;長期績效;Seasoned Equity Offerings;Cash-flow beta;Discount-rate beta;Long-run performance
引用: Campbell, John.Y., 1991, A variance decomposition for stock return, Economic Journal 101, 157-179. Campbell, John.Y., and Robert J. Shiller, 1998a, The dividend-price ratio and expectations of future dividends and discount factors, Review of Financial Studies 1, 195-228. Campbell, John.Y., and Tuomo Vuolteenaho, 2004, Bad beta, good beta, American Economic Revies 94, 1249-1275. Campbell, John.Y., Stefano Giglio, and Christopher Polk, 2012, Hard time, Review of Asset Pricing Studies 3, 95-132. Campbell, John.Y., Stefano Giglio, Christopher Polk, and Robert Turley, 2014, An intertemporal CAPM with stochastic volatility, working paper. Carlson, M., A. Fisher, and R. Giammarino, 2006, Corporate investment and asset price dynamics: implications for SEO event studies and long-run performance, Journal of Finance 61, 1009–1034. Carlson, M., A. Fisher, and R. Giammarino, 2010. SEO Risk Dynamics, Review of Financial Studies 23, 4026-4077. Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84. Hertzel, M.G., and Li, Z., 2010, Behavioral and rational explanations of stock price performance around SEOs: evidence from a decomposition of market-to-book ratios, Journal of Financial and Quantitative Analysis 45, 935-958. Kahle, K.M., 2000, Insider trading and the long-run performance of new security issues, Journal of Corporate Finance 6, 25–53. Li, E. X. N., D. Livdan, and L. Zhang, 2009, Anomalies, Review of Financial Studie 22, 4301–4334. Loughran, T., and J. Ritter, 1995, The new issues puzzle, Journal of Finance 50, 23–51. Loughran, T., and J. Ritter, 1997, The operating performance of firms conducting seasoned equity offerings, Journal of Finance 52, 1823–50. Merton, Robert C., 1973, An intertemporal capital asset pricing model, Econometrica 41, 867-887. Rhodes-Kropf, M., D. T. Robinson, and S. Viswanathan, 2005, Valuation Waves and Merger Activity: The Empirical Evidence, Journal of Financial Economics 77, 561–603. Ritter, Jay R., 2002, Investment banking and securities issuance, in G. Constantinides, M. Harris, and R. Stulz, eds.: Handbook of the Economics of Finance. Speiss, D. Katherine, and John Affleck-Graves, 1995, Underperformance in long-run stock returns following seasoned equity offerings, Journal of Financial Economics 38, 243–267.
本文使用Campbell and Vuolteenaho (2004)的二貝他模式估計公司的現金流量貝他及折現率貝他,檢驗公司特性是否會影響增資後兩貝他變動,並探討現金增資時兩貝他指標對長期績效表現的影響以及增資後兩貝他的變動與長期績效表現的關係。本文有三個發現,第一,低帳面市值比、高投資比率以及增資前股價成長高的公司,增資後現金流量貝他下降程度愈大,但皆不影響增資後折現率貝他之變動;第二,增資時現金流量貝他愈高,增資後的長期績效表現愈差,但折現率貝他的高低不影響增資後的長期績效表現;第三,增資後系統風險降低使得長期績效表現不佳,主要由於現金流量貝他的下降所致,而非折現率貝他。

We utilize Campbell and Vuolteenaho's(2004) two-beta model to estimate firm's cash-flow and discount-rate betas, and then test whether corporate characteristics affect the change in two betas after SEOs. We also examine the impact of two betas on long-run performance of SEO firms. There are three main findings in this paper. First, firms with lower book-to-market ratio, higher investment ratio, and higher pre-issue price runup decline substantially in cash-flow beta after SEOs. In contract, the discount-rate beta does not have the similar change after SEOs. Second, cash-flow beta at issuance has negative and significant impact on long-run performance, but discount-rate beta does not have significant impact on long-run performance. Finally, the reason of the poor long-run performance is the decrease in cash-flow beta, but it is not related to change in discount-rate beta.
其他識別: U0005-1706201414200600
Rights: 同意授權瀏覽/列印電子全文服務,2017-06-26起公開。
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