簡易檢索 / 詳目顯示

回結果列表
研究生： 徐婉甯
Hsu, Wan-Ning
論文名稱： 財務分析師跟隨效果與私募宣告發行後公司績效之關連性
Analyst Following and Long-term Performance of Private Equity Placement
指導教授： 張紹基
Chang, Shao-Chi
學位類別： 碩士
Master
系所名稱： 管理學院 - 國際企業研究所
Institute of International Business
論文出版年： 2007
畢業學年度： 95
語文別： 英文
論文頁數： 44
中文關鍵詞： 分析師預測 、私募籌資 、私募 、私募宣告 、過度樂觀
外文關鍵詞： private equity placement, private equity, analysts' forecast, overoptimism
相關次數： 點閱：148  下載：6 
分享至:
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

    • 私募為公司融資方式之一，且融資的對象通常是像機構投資人這類的單一或獨立投資者。而過去的研究顯示，公司在發行私募股權時擁有正的宣示效果，然而長期股價表現卻呈現負向變動(Hertzel et al., 2002)。但卻缺乏行為理論解釋為什麼投資人在面對私募宣告發行時會規律的在長期呈現與短期表現相反的方向。然而投資人的行為與預期無法被預測，因此我們試圖用會影響或反映投資人預期的分析師來解釋私募長期股價表現為負的現象。除此之外，過去許多研究顯示，分析師會傾向於過度樂觀且此過度樂觀的現象可能與長期股價表現為負有關(Rajan and Servaes,1997)。因此，在本研究中，我們將運用分析師跟隨私募發行的預測來檢視是否分析師存在有過度樂觀這個現象的，進而檢視分析師的預期是否與私募長期為負的現象有關。

    本研究從SDC資料庫中篩選了759筆從1984年至2003年私募籌資宣告資料，並於IBES資料庫取得相對的分析師預測資料。經過實證，本研究發現分析師對於私募的宣告可能存有過度樂觀之預期。除此之外，實證結果證實私募長期的確擁有負的股價表現。且從實證中發現分析師的跟隨效果與私募的長期表現存在著反向關係，此表示，私募宣告時分析師存在過度樂觀的程度越大，則私募公司長期的績效表現則越差。

    Private placement is one sort of equity financing which sell to single or small group of investors such as institutional investors. Prior evidence suggested that public firms placing equity privately experience positive announcements effects, with negative post-announcement stock price performance (Hertzel et al., 2002) However, there is no behavioral theory which can explain why investors would systematically react in the opposite direction to an announcement of private placements. Since investors' behavioral and expectation can not be predicted, we attempt to use the viewpoint of analysts to explain the negative post-announcement effect of private placements. Meanwhile, analysts reflect or drive investors' expectations. Moreover, we can find much evidence that analysts tend to be overoptimistic, and overoptimism may be related to a negative post-announcement. Therefore, in this study, we will examine whether there are overoptimism among analyst following of private placement, and whether there are relationship between analyst following and negative post-announcement effect.

    We collect 759 announcements of private equity placements during 1984 to 2003 from SDC database and we obtain the analysts' forecast data from IBES database. Our results suggests that there may be overoptimistic among analysts when the announcement of private equity placements. Besides, we adopt two methods and find a negative post-announcement of private equity placements. Moreover, we conduct three methods and find an inverse relationship between analysts' following and the long-run performance of private equity placement. This evidence indicates that the more overoptimism of analysts’ following, the worse the long-term performance of private equity placements will be.

    Content 1.Introduction............................................1 2.Literature Review and Hypotheses Development............5 2.1 Analyst Following and Overoptimism...................5 2.2 Positive announcement effect and Analyst following...7 2.3 Negative post-announcement effect and Analyst following ................................................10 3.Data sources and Methodology...........................13 3.1 Private equity placements samples..................................................13 3.2 Analyst following information.......................13 3.3 Measuring analysts' Overoptimism....................13 3.4 Measuring the long-term abnormal returns.......... .15 3.5 Long-term abnormal returns of private equity placements and overoptimism of analysts..................18 3.6 Summary Statistics..................................21 4.Empirical Results......................................23 4.1 Analysts’ Overoptimism.............................23 4.2 Long-term abnormal returns for Private Equity Placements...............................................27 4.3 Long-term abnormal returns of private equity placements and overoptimism of analysts..................31 5. Conclusion............................................39 Reference ................................................42 Content of Table Table 1. Distribution of Private Equity Placements Over Time.....................................................22 Table 2. Analyst Earning Forecast Errors for Private Equity Placements........................................24 Table 3 Forecasts of Long Term Earnings Growth for Private Equity Placements........................................26 Table 4 Long-run Returns Following Private Placements-BHAR.....................................................28 Table 5 Long-run Returns Following Private Placements -Calendar-Time Portfolios.................................30 Table 6 Long term returns on Private Equity Placements by forecasted industry adjusted growth quartiles............32 Table 7 Descriptive Statistics for Regression Model......34 Table 8 Regression Model of the relationship between the analyst overoptimism and the poor performance in the long term for private equity placements.......................36 Table 9 The relationship between private equity and analyst’ over optimism-Calendar-Time Approach...........38 Content of Figure Figure 1. The example for “window”‘s definition.......23

    Reference

    Ali, A., 1996. Bias in analysts’ earnings forecasts as an explanation for the long-run underperformance of stocks following equity offerings. Unpublished working paper, University of Arizona
    Barclay, M.J., Holderness, C.G., Sheehan, D.P., 2003. Private placements and managerial entrenchment. Unpublished working paper. University of Rochester
    Brooks, L.D., Graham, J.E., 2005. Equity private placements, liquid assets, and firm value. Journal of Economics and Finance 29, 321
    Chan, L.K.C., Karceski, J., Lakonishok, J., 2003. The level and persistence of growth rates. The Journal of Finance 58, 643-684
    Das, S., Guo, R., Zhang, H., 2006.Analysts' Selective Coverage and Subsequent Performance of Newly Public Firms. The Journal of Finance 61, 1159-1185
    Dechow, P., Hutton, A., Sloan, R., 2000. The relation between analysts’ forecasts of long-term earnings growth and stock price performance following equity offerings. Contemporary Accounting Research 17, 1-32
    Fama, E.F., French, K.R., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56
    Ferreira, E.J., Brooks, L.D., 1999. Evidence on equity private placements and going-out-of-business information release-evidence from private equity financings. Journal of Economics and Business 51, 377-394
    Fried, D., Givoly, D., 1982. Financial analysts’ forecasts of earnings: A better surrogate for market expectations. Journal of Accounting and Economics 4, 85-107
    Givoly, D., Lakonishok, J., 1979. The information content of financial analysts’ forecasts of earnings. Journal of Accounting and Economics 1, 165-185
    Goh, J., Gombola, M.J., Lee, H.W., Liu, F.Y., 1999. Private placement of common equity and earnings expectations. The Financial Review 34, 19-32
    Hansen, R.S., Sarin, A., 1998. Are analysts overoptimistic around seasoned equity offerings. Unpublished working paper. Virginia Tech
    Hertzel, M., Lemmon, M., Linck, J.S., Rees, L., 2002. Long-run performance following private placements of equity. The Journal of Finanace 57, 2595-2617
    Hertzel, M., Smith, R.L., 1993. Market discounts and shareholder gains for placing equity privately. The Journal of Finance 48, 459-485
    Jain, P.C., 1992. Equity issues and changes in expectations of earnings by financial analysts. Review of Financial Studies 5, 669-683
    Krishnamurthy, S., Spindt, P., Subramaniam, V., Woidtke, T., 2004. Does investor identity matter in equity issues? Evidence from private placements. Journal of Financial Intermediation
    Lin, H., McNichols, M., 1998. Underwriting relationships, analysts’ earnings forecasts and investment recommendations. Journal of Accounting and Economics 25, 101-127
    Loughran, T., Ritter, J.R., 1995. The new issues puzzle. The Journal of Finance 50, 23-51
    Michaely, R., Womack, K.L., 1999. Conflict of interest and the credibility of underwriter analyst recommendations. Review of Financial Studies 12, 653-686
    Myers, S.C., Majluf, N.S., 1984. Corporate financing and investment decisions when firms have information that investors do not. Journal of Financial Economics 13, 187-221
    Rajan, R., Servaes, H., 1997. Analyst following of initial public offerings. The Journal of Finance 52, 507-529
    Ritter, J.R., 1991. The long-run performance of initial public offerings. The Journal of Finance 46, 3-27
    Spiess, D.K., Affleck-Graves, J., 1995. Underperformacne in long-run stock returns following seasoned equity offerings. Journal of Financial Economics 38, 243-267
    Stickel, S.E., 1995. The anatomy of the performance of buy and sell recommendations. Financial Analysts Journal 51, 25–39
    Womack, K.L., 1996. Do brokerage analysts' recommendations have investment value? The Journal of Finance 51, 137-167
    Wruck, K., 1989. Equity ownership concentration and firm value. Journal of Financial Economics 23, 3-28
    Wu, Y.L., 2004. The choice of equity-selling mechanisms. Journal of Financial Economics 74, 93-119

    下載圖示 校內：2010-06-22公開
    校外：2010-06-22公開
    QR CODE