An Investigation of Price Pressure around Private Placements of Equity

簡易檢索 / 詳目顯示

回結果列表

研究生：	林承翰 Cheng-Han Lin
論文名稱：	An Investigation of Price Pressure around Private Placements of Equity 上市公司發行私募股票前後賣壓之研究
指導教授：	吳儀玲 Yi-Lin Wu
口試委員:
學位類別：	碩士 Master
系所名稱：	科技管理學院 - 科技管理研究所 Institute of Technology Management
論文出版年：	2008
畢業學年度：	96
語文別：	英文
論文頁數：	55
中文關鍵詞：	私募、賣壓
外文關鍵詞：	private placements, price pressure, short interest, abnormal return, hedge fund
相關次數：	點閱：4 下載：0
分享至:	分享至facebook 分享至twitter

查詢本校圖書館目錄查詢臺灣博碩士論文知識加值系統勘誤回報

This study investigates the price pressure around the transactions of private equity to see if there is a motivation for specific investors to gain more discounts preceding the closing date or to hedge the underlying shares after the closing date. In general, hedge funds are the most important participants in the private equity market. Even though these issuing companies financed from hedge funds are underperformed, hedge funds still could make profits from these transactions. To analyze why this result happened, the study examines whether private placements investors would short-sell the shares to decline the cost or to hedge their position to ensure the positive profits. Finally, we calculate the calendar time abnormal returns to private placements investors to explain the motivation that investors participate in the private placements.

Table of Contents
ABSTRACT    I
ACKNOWLEDGMENT    II
1. INTRODUCTION    1
1.1 Definition and Background    1
1.2 Motivation    3
2. LITERATURE REVIEW    4
2.1 Literatures concerning about price pressure prior to seasoned equity offerings    4
2.2 Literatures concerning about private placements of equity    5
2.3 The role of hedge funds in private investments in public equity    6
3. HYPOTHESES    8
4. DATA    9
4.1 Sample Description    9
5. METHODOLOGY    11
5.1 Transaction Discounts and Premiums    11
5.2 Cumulative Abnormal Returns (CAR) around important dates    11
5.3 Calendar-time Abnormal Returns    12
5.4 Price Pressure and Short Interest    12
5.5 Long Term Abnormal Returns to Private Investors    14
6. EMPIRICAL EVIDENCE    15
6.1 Transaction Discounts and Premiums    15
6.2 Cumulative Abnormal Returns - short and long run returns    15
6.3 Calendar-time abnormal returns for long term performance    17
6.4 Price Pressure and Short Interest    17
6.5 Long Term Calendar Time Abnormal Returns to Private Investors    20
7. CONCLUSION    22
REFERENCES    24
APPENDIX 1    47
APPENDIX 2    50
APPENDIX 3    52

List of Tables

TABLE 1: HYPOTHESIS DEBATE    32
TABLE 2: PRIVATE PLACEMENTS OF EQUITY FROM 1994 TO 2006    33
TABLE 3: THE CALENDAR DAY INTERVALS BETWEEN IMPORTANT DATES FOR PRIVATE PLACEMENTS OF EQUITY    34
TABLE 4: PRIVATE EQUITY TRANSACTION DISCOUNTS AND PREMIUMS    35
TABLE 5: CAR USING MARKET MODEL AROUND THE IMPORTANT DATES    36
TABLE 6: CAR USING FAMA-FRENCH THREE FACTOR MODEL AROUND THE IMPORTANT DATES    37
TABLE 7: CALENDAR TIME ABNORMAL RETURNS FOR PUBLIC INVESTORS– (EQUAL WEIGHTED)    38
TABLE 8: SHORT INTEREST SUMMARY OF STATISTICS AROUND CLOSING MONTH    39
TABLE 9: TWO SHORT INTEREST PERCENTAGE CHANGES GROUP DISCOUNTS    40
TABLE 10: RSI - THE DAYS BETWEEN REPORTING DATE AND CLOSING DATE    41
TABLE11: SHORT INTEREST DIFFERENCES RELATIVE SHARE OFFERED (RSI-1)    42
TABLE 12: SHORT INTEREST DIFFERENCES RELATIVE SHARE OFFERED FOR DISCOUNTED GROUP (RSI-1)    43
TABLE 13: SHORT INTEREST DIFFERENCES RELATIVE SHARE OFFERED FOR PREMIUM GROUP (RSI-1)    44
TABLE 14: PRIVATE PLACEMENTS INVESTORS’ CALENDAR TIME ABNORMAL RETURNS – EQUAL WEIGHTED    45
TABLE 15: PRIVATE PLACEMENTS INVESTORS’ CALENDAR TIME ABNORMAL RETURNS – EQUAL WEIGHTED BY TWO SHORT INTEREST PERCENTAGE CHANGES GROUP    46
TABLE 16: PRIVATE EQUITY TRANSACTION DISCOUNTS AND PREMIUMS (MEASURED BY CONTRACT DATE)    47
TABLE 17 SHORT INTEREST SUMMARY OF STATISTICS AROUND CONTRACT MONTH    49
TABLE 18 SHORT INTEREST SUMMARY OF STATISTICS AROUND REGISTRATION MONTH    50
TABLE 19 : MEDIAN PERCENTAGE CHANGES IN SHORT INTEREST AROUND CLOSE MONTH GROUP BY INVESTORS    52
TABLE 20: MEDIAN PERCENTAGE CHANGES IN SHORT INTEREST AROUND CLOSE MONTH BY REGISTRATION GROUP    54
TABLE 21: MEDIAN PERCENTAGE CHANGES IN SHORT INTEREST AROUND CLOSE MONTH BY REGISTRATION RIGHT GROUP    55


List of Figures

FIGURE 1: AVERAGE CALENDAR DAYS BETWEEN IMPORTANT DATES FOR PRIVATE PLACEMENTS OF EQUITY    27
FIGURE 2: ABNORMAL RETURN FOR PRIVATE PLACEMENTS OF EQUITY AROUND THE EVENT PERIOD RELATIVE TO CLOSING DATE    28
FIGURE 3: CMAX MEAN (PRICE DROP DOWN ONE MONTH PRIOR TO CLOSING DATE)    29
FIGURE 4: CMAX MEAN (PRICE DROP DOWN ONE YEAR PRIOR TO CLOSING DATE)    30
FIGURE 5: CMAX MEAN (PRICE DROP DOWN TWO YEARS FOLLOWING CLOSING DATE)    31

                                

Altinkilic, Oya, and Robert S. Hansen, 2005. The Puzzling Wealth Loss around Equity Offerings: Is it Merely Price Pressure or is there More Information? (SSRN).

Barber, Brad M., and John D. Lyon, 1997, Detecting long-run abnormal stock returns: The empirical power and specification of test statistics, Journal of Financial Economics 43, 341-372.

Barclay, Michael J., Clifford G. Holderness, and Dennis P. Sheehan, 2007, Private placements and managerial entrenchment, Journal of Corporate Finance 13, 461-484.

Brophy, David J., Paige P. Ouimet, and Clemens Sialm, 2006, Hedge Funds as Investors of Last Resort?, Review of Financial Studies.

Canina, Linda, Roni Michaely, Richard Thaler, and Kent Womack, 1998, Caveat Compounder: A Warning about Using the Daily CRSP Equal-Weighted Index to Compute Long-Run Excess Returns, The Journal of Finance 53, 403-416.

Carhart, Mark M., 1997, On Persistence in Mutual Fund Performance, The Journal of Finance 52, 57-82.

Corwin, Shane A., 2003, The Determinants of Underpricing for Seasoned Equity Offers, The Journal of Finance 58, 2249-2279.

Cronqvist, Henrik, and Mattias Nilsson, 2005, The choice between rights offerings and private equity placements, Journal of Financial Economics 78, 375-407.

Daniel, Kent, and Sheridan Titman, 1997, Evidence on the Characteristics of Cross Sectional Variation in Stock Returns, The Journal of Finance 52, 1-33.

Eckbo, B. Espen, and Ronald W. Masulis, 1992, Adverse selection and the rights offer paradox, Journal of Financial Economics 32, 293-332.

Fama, Eugene F., 1998, Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics 49, 283-306.

Fama, Eugene F., and Kenneth R. FrencH, 1996, Multifactor Explanations of Asset Pricing Anomalies, The Journal of Finance 51, 55-84.

Foster, F. Douglas, and S. Viswanathan, 1994, Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information, The Journal of Financial and Quantitative Analysis 29, 499-518.

Gerard, Bruno, and Vikram Nanda, 1993, Trading and Manipulation Around Seasoned Equity Offerings, The Journal of Finance 48, 213-245.

Hertzel, Michael, Michael Lemmon, James S. Linck, and Lynn Rees, 2002, Long-Run Performance Following Private Placements of Equity, The Journal of Finance 57, 2595-2617.

Hertzel, Michael, and Richard L. Smith, 1993, Market Discounts and Shareholder Gains for Placing Equity Privately, The Journal of Finance 48, 459-485.

Hess, Alan C., and Peter A. Frost, 1982, Tests for Price Effects of New Issues of Seasoned Securities, The Journal of Finance 37, 11-25.

Jaffe, Jeffrey F., 1974, Special Information and Insider Trading, The Journal of Business 47, 410-428.

Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, The Journal of Finance 48, 65-91.

Lyon, John D., Brad M. Barber, and Chih-Ling Tsai, 1999, Improved Methods for Tests of Long-Run Abnormal Stock Returns, The Journal of Finance 54, 165-201.

Mandelker, Gershon, 1974, Risk and return: The case of merging firms, Journal of Financial Economics 1, 303-335.

Masulis, Ronald W., and Ashok N. Korwar, 1986, Seasoned equity offerings : An empirical investigation, Journal of Financial Economics 15, 91-118.

Meidan, Danny, 2005. A Re-Examination of Price Pressure Around Seasoned Equity Offerings (SSRN).

Meidan, Danny, 2006. The Informativeness of Offer Characteristics versus Investor Identity in PIPE Transactions (SSRN).

Mikkelson, Wayne H., and M. Megan Partch, 1988, Withdrawn Security Offerings, The Journal of Financial and Quantitative Analysis 23, 119-133.

Mitchell, Mark L., and Erik Stafford, 2000, Managerial Decisions and Long-Term Stock Price Performance, The Journal of Business 73, 287-329.

Mitchell, Mark, Todd Pulvino, and Erik Stafford, 2004, Price Pressure around Mergers, The Journal of Finance 59, 31-63.

Myers, Stewart , and Nicholal S. Majluf, 1984, Corporate Financing and Investment Decisions when Firms have Information that Investors Do Not Have, Journal of Financial Economics 13, 187-221.

Myron, S. Scholes, 1972, The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices, The Journal of Business 45, 179-211.

Patel, Sandeep, and Asani Sarkar, 1998, Stock Market Crises in Developed and Emerging Markets, Financial Analysts Journal 54, 50-61.

Safieddine, Assem, and William J. Wilhelm, Jr., 1996, An Empirical Investigation of Short-Selling Activity Prior to Seasoned Equity Offerings, The Journal of Finance 51, 729-749.

Shumway, Tyler, and Vincent A. Warther, 1999, The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect, The Journal of Finance 54, 2361-2379.

Silber, William L., 1991, Discounts On Restricted Stock: The Impact Of Illiquidity On Stock Prices, Financial Analysts Journal Vol. 47, 60-64.

Smith, Clifford W., 1977, Alternative methods for raising capital : Rights versus underwritten offerings, Journal of Financial Economics 5, 273-307.

Wruck, Karen Hopper, 1989, Equity ownership concentration and firm value : Evidence from private equity financings, Journal of Financial Economics 23, 3-28.

全文公開日期本全文未授權公開 (校內網路)
全文公開日期本全文未授權公開 (校外網路)
全文公開日期本全文未授權公開 (國家圖書館：臺灣博碩士論文系統)

簡易檢索 / 詳目顯示

相關論文