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研究生:林冠彰
研究生(外文):Kuan-Chang Lin
論文名稱:純粹資本轉換的長期股價與營運表現
論文名稱(外文):The long-run performance of pure exchange offers
指導教授:陳聖賢陳聖賢引用關係周冠男周冠男引用關係
指導教授(外文):Shen-Syan ChanRobin Chou
學位類別:碩士
校院名稱:元智大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:31
中文關鍵詞:pure exchange offerslong-run performanceoperating performance
外文關鍵詞:pure exchange offerslong-run performanceoperating performance
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Abstract
This study investigates the long-run performance of firms following the announcements of pure exchange offers. We find no consistent abnormal return following the announcements pure exchange offers, but we find firms experience an inferior operating performance after the announcement of executing pure exchange offers. Further, we find that there is no consistent relationship neither between BHAR and firm size nor between BHAR and book-to-market ratio.

Abstract
This study investigates the long-run performance of firms following the announcements of pure exchange offers. We find no consistent abnormal return following the announcements pure exchange offers, but we find firms experience an inferior operating performance after the announcement of executing pure exchange offers. Further, we find that there is no consistent relationship neither between BHAR and firm size nor between BHAR and book-to-market ratio.

CONTENTS
1. INTRODUCTION 1
2. DATA AND METHODOLOGY 3
2.1. SAMPLE DESCRIPTION………………………………………….3
2.2. MEASURMENTS OF LONG-RUN ABNORMAL
STOCK-PRICE PERFORMANCE 5
2.2.1. BUY-AND-HOLD ABNORMAL RETURN 5
2.2.2. CALENDAR-TIME ABNORMAL RETURN 6
2.2.2.1. FAMA AND FRENCH THREE-FACTOR MODEL 6
2.2.2.2. CARHAT FOUR-FACTOR MODEL 7
3. POST-ANNOUNCEMENT LONG-RUN ABNORMAL RETURN 8
3.1. BUY-AND-HOLD ABNORMAL RETURN 8
3.2. CALENDAR-TIME ABNORMAL RETURN 9
3.2.1. FAMA AND FRENCH THREE-FACTOR MODEL 9
3.2.2. CARHART FOUR-FACTOR MODEL 9
4. OPERATING PERFORMANCE 10
4.1. RESULT OF OPERATING PERFORMANCE 11
5. CROSS-SECTIONAL ANALYSIS OF PURE EXCHANGE OFFERS 11
6. CROSS-SECTIONAL PATTERNS OF POST-ANNOUNCEMENT STOCK PRICE PERFORMANCE 12
6.1. FIRM SIZE 12
6.2. BOOK-TO-MARKET-RATIO 13
7. CONCLUSION 15
REFERENCES 17

REFERENCES
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.
Brown, David T., Christopher M. James, and Robert M. Mooradian, 1993, “The information content of distressed restructurings involving public and private debt claims,” Journal of Financial Economics 38, 333-360.
Carthart, M. Mark, 1997, “On persistence in mutual fund performance,” Journal of Finance 52, 57-82.
Chatterjee, Sris, Upinder S. Dhillon, and Gabriel G. Ramirez, 1995, “Coercive tender and exchange offers in distressed high-yield debt restructurings: An empirical analysis,” Journal of Financial Economics 38, 333-360.
Copeland, Thomas, and Won Heum Lee, 1991 “Exchange-offers and swaps: New evidence,” Financial Management 20, 34-48.
Cornett, Marcia, and Nickolaos Travlos, 1989, “Information effects associated with debt-for-equity and equity-for-debt exchange-offers,” Journal of Finance 44, 451-468.
Fama, Eugene F., and Kenneth R. French, 1993, “Common risk factors in the returns on stocks and bonds,” Journal of Finance 33, 3-56.
Fama, Eugene F., 1998, “Market efficiency, long-term returns, and behavioral finance,” Journal of Finance 49, 283-306.
Lie, Erik, Heidi J. Lie, and John J McConnell, 2001, “Debt-reducing exchange offers,” Journal of Corporate Finance 7, 179-207.
Loughran, Tim and Jay R. Ritter, 2000, “Uniformly least powerful tests of market efficiency,” Journal of Financial Economics 55, 361-389.
Masuli, Ronald, 1980, “The effects of capital structure change on security prices: A study of exchange-offers,” Journal of Financial Economics 8, 139-178.
Masuli, Ronald, 1983, “The impact of capital structure change on firm value: Some estimates,” Journal of Finance 38, 107-126.
Mitchell, Mark L. and Erick Stafford, 2000, “Managerial decisions and long-term stock price performance,” Journal of Business 73, 287-329.
Pinegar, Michael J., and Ronald C. Lease, 1986, “The impact of preferred-for-common exchange-offers on firm value,” Journal of Finance 41, 795-814.
Shah, Kshitij, 1994, “The nature of information conveyed by pure capital structure changes,” Journal of Financial Economics 36, 89-126.

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