Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/92425
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dc.contributor楊東曉zh_TW
dc.contributor.authorChung-Yi Leeen_US
dc.contributor.author李仲益zh_TW
dc.contributor.other財務金融學系所zh_TW
dc.date2014zh_TW
dc.date.accessioned2015-12-16T00:56:12Z-
dc.identifierU0005-1006201412500300zh_TW
dc.identifier.citationBarclay, 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.zh_TW
dc.identifier.urihttp://hdl.handle.net/11455/92425-
dc.description.abstract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。zh_TW
dc.description.abstractThe 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.en_US
dc.description.tableofcontents第壹章 緒論 1 第一節 研究動機與背景 1 第二節 研究目的 1 第三節 研究架構 2 第貳章 文獻回顧 3 第一節 私募與長期績效 3 第二節 過度樂觀 4 第三節 資產定價 4 第參章 研究方法與假說 6 第一節 資料來源與樣本 6 第二節 實證方法 6 第三節 研究假說 11 第四節 VAR估計結果 12 第五節 私募樣本基本統計量 13 第肆章 實證結果 15 第一節 私募樣本特性 15 第二節 Fama-French 四因子模型 17 第三節 迴歸分析 18 第伍章 結論 21 參考文獻 22 【附錄一】依每股盈餘分組之迴歸分析 24 【附錄二】依自由現金流量分組之迴歸分析 25zh_TW
dc.language.isozh_TWzh_TW
dc.rights同意授權瀏覽/列印電子全文服務,2017-06-24起公開。zh_TW
dc.subject私募zh_TW
dc.subject現金流量貝他zh_TW
dc.subject折現率貝他zh_TW
dc.subject過度樂觀zh_TW
dc.subjectPrivate placementsen_US
dc.subjectCash-flow betaen_US
dc.subjectDiscount-rate betaen_US
dc.subjectOveroptimismen_US
dc.title企業私募與系統性風險─貝他分解模式之應用zh_TW
dc.titlePrivate Placements of Equity and Systematic Risk – Application of the Beta Decomposition Modelen_US
dc.typeThesis and Dissertationen_US
dc.date.paperformatopenaccess2017-06-24zh_TW
dc.date.openaccess2017-06-24-
item.grantfulltextrestricted-
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item.cerifentitytypePublications-
item.languageiso639-1zh_TW-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.openairetypeThesis and Dissertation-
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