本研究主要是探討1989至1999年間在紐約證券交易所、美國證券交易所、及那斯達克上市之公司，在發行擔保債券後的長期股價表現與營運績效。我們採用了三種衡量長期績效表現的方法：購買持有期間異常報酬與兩種日曆時間投資組合法。實證結果發現：(1)發行公司在宣告日後會有較差的股價表現與營運表現；(2)在1989至1994年間發行擔保債券的公司，有顯著負的異常報酬；(3)此外，負的異常報酬亦會發生在規模較大的公司卻發行較少量的擔保債券、所發行的擔保債券為A等級、或擔保債券的期限超過10年； (4)最後，從橫斷面的分析結果顯示，金融機構與公營事業發行擔保債券有利於三年購買持有期間報酬的增加；加權平均的市場報與宣告公司的五年購買持有期間之報酬呈正相關；當宣告公司所發行的擔保債券為A 評等時，則不利於三年及五年購買持有期間之報酬。

This study analyzes the long-run stock return and operating performance following secured debts from 1989 to 1999. We choose buy-and-hold abnormal return, Fama and French (1993) three-factor model, and Carhart (1997) four-factor model to examine the long-run performance. Our primary findings are that (1) issuing firms have underperformance on stock return and operating performance after offering secured debts; (2) the underperformance is restricted to the period with low volume issues; (3) larger firms with smaller secured debt offering, and firms which issue A-rated secured debt or longer maturity of secured debt will suffer significantly harsh underperformance; (4) the cross sectional results provide financial institutions and utilities, and A-rated secured debt are significantly related to 3-year buy-and-hold return on issuing firms, while market return and A-rated secured debt are significantly related to 5-year buy-and-hold return on issuing firms.

CONTENTS
I. INTRODUCTION 1
II. DATA SOURCES AND SAMPLE SELECTION 4
III. METHODOLOGY AND EMPIRICAL RESULTS 5
A. BENCHMARK AND HORIZON 5
B. BUY-AND-HOLD ABNORMAL RETURN 6
B.1. MEASURE OF BUY-AND-HOLD ABNORMAL RETURN 6
B.2. RESULT OF BUY-AND-HOLD ABNORMAL RETURN 7
C. CALENDAR-TIME ABNORMAL RETURN 8
C.1. MEASURE OF FAMA-FRENCH THREE-FACTOR REGRESSION 8
C.2. RESULT OF FAMA-FRENCH THREE-FACTOR REGRESSION .8
C.3. MEASURE OF CARHART FOUR-FACTOR REGRESSION 10
C.4. RESULT OF CARHART FOUR-FACTOR REGRESSION 10
D. POST-OFFERING PERFORMANCE TYPED BY YEAR OF OFFERING AND ISSUE VOLUME 11
E. POST-OFFERING PERFORMANCE TYPED BY FIRM AND ISSUING FEATURES 12
F. OPERATING PERFORMANCE 14
F.1. PROXY VARIABLES 14
F.2. RESULT OF OPERATING PERFORMANCE 15
G. CROSS SECTIONAL ANALYSIS OF LONG-RUN RETURN FOLLOWING SECURED DEBT OFFERING 16
G.1. PROXY VARIABLES 16
G.2. RESULT OF CROSS SECTIONAL ANALYSIS 17
IV. CONCLUDING REMARKS 18
REFERENCES 20

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