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標題: 企業私募與系統性風險─貝他分解模式之應用
Private Placements of Equity and Systematic Risk – Application of the Beta Decomposition Model
作者: Chung-Yi Lee
關鍵字: 私募;現金流量貝他;折現率貝他;過度樂觀;Private placements;Cash-flow beta;Discount-rate beta;Overoptimism
引用: Barclay, Michael J., Clifford G. Holderness, and Dennis P. Sheehan, 2007, Private placement and managerial entrenchment, Journal of Corporate Finance 13, 461–484. Campbell, John Y., 1991, A variance decomposition for stock returns, Economic Journal 101, 157-179. Campbell, John Y., and Robert J. Shiller, 1988a, 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 Review 94, 1249-1275. Campbell, John Y., Stefano Giglio, and Chrisstopher Polk, 2013, Hard times, 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. Chen, An Sing, Lee Young Cheng, Kuang Fu Cheng, and Shu Wei Chih, 2010, Earnings management, market discounts and the performance of private equity placements, Journal of Banking and Finance 34, 1922-1932. Chou, De Wai, Michael Gombola, and Feng Ying Liu, 2009, Long-run underperformance following private equity placements: The role of growth opportunities, Quarterly Review of Economics and Finance 49, 1113-1128. Dimson, Elroy, 1979, Risk management when shares are subject to infrequent trading, Journal of Financial Economics 7, 197-226. Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56. Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84. Garrett, Ian and Richard Priestley, 2012, Dividend growth, cash flow, and discount rate news, Journal of Financial and Quantitative Analysis 47, 1003-1028. Hertzel, Michael, Michael Lemmon, James S. Linck, and Lynn Rees, 2002, Long-run performance following private placements of equity, Journal of Finance 57, 2595-2618. Krishnamurthy, Srinivasan, Paul Spindt, Venkat Subramaniam, and Tracie Woidtke, 2005, Does investor identity matter in equity issues? Evidence from private placement, Journal of Financial Intermediation 14, 210-238. Lintner, John, 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37. Lo, Andrew W., and A. Craig MacKinlay, 1990, An econometric analysis of nonsynchronous trading, Journal of Econometrics 45, 181-211. Loughran, Tim, and Jay R. Ritter, 1997, The operating performance of firms conducting seasoned equity offerings, Journal of Finance 52, 1823–1850. Marciukaityte, Dalia, Samuel H. Szewczyk, and Raj Varma, 2005, Investor overoptimism and private equity placements. Journal of Financial Research 28, 591–608. Markowitz, Harry, 1952, Portfolio selection, Journal of Finance 7, 77-91. McQueen, Grant, Michael Pinegar, and Steven Thorley, 1996, Delayed reaction to good news and the cross-autocorrelation of portfolio returns, Journal of Finance 51, 889-919. Merton, Robert C., 1973, An intertemporal capital asset pricing model, Econometrcia 41, 867-887. Peterson, James D., and Gary C. Sanger, 1995, Cross-autocorrelations, systematic risk and the period of listing, Unpublished Paper. Ritter, Jay R., 1991, The long-run performance of initial public offerings, Journal of Finance 46, 3–27. Ross, Stephen A., 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341-360. Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19, 425-442. Sholes, Myron, and Joseph T. Williams, 1977, Estimating betas from nonsynchronous data, Journal of Financial Economics 5, 309-327. Trenyor, Jack L., 1962, Toward a theory of market value of risky assets, Unpublished manuscript, Final version published in Asset Pricing and Portfolio Performance, 1999, Robert A. Korajczyk, ed. London: Risk books, pp. 15-22. Wruck, Karen H., and Yi Lin Wu, 2009, Relationships, corporate governance, and performance: Evidence from private placement of common stock, Journal of Corporate Finance 15, 30-47. Wu, Yi Lin, 2004, The choice of equity-selling mechanism, Journal of Financial Economics 74, 93-119.
財務實證文獻顯示,私募的長期績效劣於大盤,並且存在投資人過度樂觀的現象。本文透過Campbell and Vuolteenaho (2004)提出的現金流量貝他與折現率貝他對私募公司的長期績效進行解釋,現金流量貝他代表公司對投資機會改善的風險,折現率貝他代表公司對市場折現率的敏感度。結果發現,現金流量貝他越低,長期績效較差,表示投資人對公司產生的現金流量較不敏感,在私募後相對有較差的表現;折現率貝他越高,長期績效越差,支持投資人在私募案件中會對此類公司產生過度樂觀的現象。

The existing literature finds that firms perform poorly after private placements, which is explained by investors overoptimism. This study uses the two-beta model: cash-flow beta and discount-rate beta, following Campbell and Vuolteenaho (2004) to investigate both issues. Cash-flow beta represents the risk of future investment opportunities, and discount-rate beta represents company's sensitivity to market discount rate. The results show that firms with low cash-flow beta have poor long-run performance. This implies that with low sensitivity to cash flows are likely to perform poorly following private placements. Further, the negative relation between discount-rate beta and long-run performance indicate that investors are prone to be overoptimistic about high discount-rate beta firms.
其他識別: U0005-1006201412500300
Rights: 同意授權瀏覽/列印電子全文服務,2017-06-24起公開。
Appears in Collections:財務金融學系所

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