《金融投资学》教学资源（英文文献）The long-run performance of stock returns following debt offerings.pdf_P6-P10

50 D.K.Spiess,J.Affleck-Graves Journal of Financial Economics 54 (1999)45-73 2.2.Matched firm selection Our primary benchmark of aftermarket performance is a size-and-book-to- market-matched sample of non-issuing firms.These control firms are also matched by trading system(NYSE/Amex or NASDAQ)and comprise firms that have not publicly sold new shares of equity or made a public debt offering during the five years prior to the debt offering by the corresponding sample firm. Barber and Lyon(1997)provide a complete discussion of the statistical issues involved in tests of long-run returns and conclude that the matched control firm approach leads to unbiased test statistics. The procedure we use to choose the control firms is similar to that used by Spiess and Affleck-Graves (1995).At each year end,all NYSE/Amex common stocks listed on the CRSP tape that have not publicly sold new equity or new debt during the previous five years(or since the time of listing if they have been listed for less than five years)are ranked by their market capitalization and their book-to-market ratio.For each NYSE/Amex-listed firm in the sample,we select the first matched firm from the set of potential matches such that the sum of the absolute percentage difference between the sizes(at December 31 of the year preceding the issue)and book-to-market ratios(at the end of the fiscal year prior to the issue)of the issuing firm and the matched firm is minimized.We constrain the pool of potential matches so that matched firms are not more than ten percent smaller than their sample firms.1 If the first matched firm is delisted or publicly sells new debt during the holding period,we substitute the next closest matched firm at the close of trading on the date of the delisting or security sale. For the independent sample,170 issues required two matched firms,31 required three,six required four,and two required five.Matched firms are not allowed to be used more than once on the same trading day. We use a similar procedure to choose matched firms for the NASDAQ subset of the sample,except that the potential matches come from the set of NASDAQ-listed firms on the CRSP tape that have not publicly sold debt or equity during the prior five years (or since the date of their listing if that is less than five years).For NASDAQ debt offerings in 1975-1977,all firms that were trading on December 14,1972(the first CRSP NASDAQ trading date)are considered as potential matches. Table 2 presents summary statistics for the sample and the set of first matched firms.The mean straight debt issue of $93.1 million is almost twice as large as the mean convertible debt issue of $47.7 million.Both of these values are larger than the mean issue size of $36.6 million reported by Spiess and Affleck-Graves(1995) for primary seasoned equity offerings during the same time period.In addition, 1 Eleven firms did not have any potential matches meeting this constraint and so were matched with the closest fit available.The impact of the precision of the matches is discussed in Section 5

1Eleven "rms did not have any potential matches meeting this constraint and so were matched with the closest "t available. The impact of the precision of the matches is discussed in Section 5. 2.2. Matched xrm selection Our primary benchmark of aftermarket performance is a size-and-book-tomarket-matched sample of non-issuing "rms. These control "rms are also matched by trading system (NYSE/Amex or NASDAQ) and comprise "rms that have not publicly sold new shares of equity or made a public debt o!ering during the "ve years prior to the debt o!ering by the corresponding sample "rm. Barber and Lyon (1997) provide a complete discussion of the statistical issues involved in tests of long-run returns and conclude that the matched control "rm approach leads to unbiased test statistics. The procedure we use to choose the control "rms is similar to that used by Spiess and A%eck-Graves (1995). At each year end, all NYSE/Amex common stocks listed on the CRSP tape that have not publicly sold new equity or new debt during the previous "ve years (or since the time of listing if they have been listed for less than "ve years) are ranked by their market capitalization and their book-to-market ratio. For each NYSE/Amex-listed "rm in the sample, we select the "rst matched "rm from the set of potential matches such that the sum of the absolute percentage di!erence between the sizes (at December 31 of the year preceding the issue) and book-to-market ratios (at the end of the "scal year prior to the issue) of the issuing "rm and the matched "rm is minimized. We constrain the pool of potential matches so that matched "rms are not more than ten percent smaller than their sample "rms.1 If the "rst matched "rm is delisted or publicly sells new debt during the holding period, we substitute the next closest matched "rm at the close of trading on the date of the delisting or security sale. For the independent sample, 170 issues required two matched "rms, 31 required three, six required four, and two required "ve. Matched "rms are not allowed to be used more than once on the same trading day. We use a similar procedure to choose matched "rms for the NASDAQ subset of the sample, except that the potential matches come from the set of NASDAQ-listed "rms on the CRSP tape that have not publicly sold debt or equity during the prior "ve years (or since the date of their listing if that is less than "ve years). For NASDAQ debt o!erings in 1975}1977, all "rms that were trading on December 14, 1972 (the "rst CRSP NASDAQ trading date) are considered as potential matches. Table 2 presents summary statistics for the sample and the set of "rst matched "rms. The mean straight debt issue of $93.1 million is almost twice as large as the mean convertible debt issue of $47.7 million. Both of these values are larger than the mean issue size of $36.6 million reported by Spiess and A%eck-Graves (1995) for primary seasoned equity o!erings during the same time period. In addition, 50 D.K. Spiess, J. A{eck-Graves / Journal of Financial Economics 54 (1999) 45}73

D.K.Spiess,J.Affleck-Graves Journal of Financial Economics 54 (1999)45-73 51 firms making straight debt offerings are,on average,more than four times as large as those making convertible offerings.The mean pre-issue market capital- ization is $898 million for the straight debt issuers and $211 million for the convertible issuers;the comparable size of seasoned equity issuers is $332 million.The book-to-market ratio of the straight debt firms is higher than that of the convertible debt firms,and,while both offer types follow periods of strong stock market performance,the convertible issues follow periods of especially strong performance.Specifically,the mean pre-offer abnormal buy-and-hold return for the five-year period preceding the offer date is 74%for the straight debt sample and 187%for the convertible debt sample. Table 2 also provides evidence regarding the similarity of the sample and matched firms with respect to several characteristics.The mean difference in market capitalization between the straight debt sample firms and their matched firms is not statistically different from zero.The mean difference in book-to- market ratios for the two sets is also not statistically different from zero.While not reported in this table,69%of the straight debt firms have matched firm sizes within 5%of their corresponding sample firm sizes,and 92%have size matches within 10%.Sixty percent of the sample firms have book-to-market matches within 5%and 78%have book-to-market matches within 10%.Thus,we appear to have achieved fairly precise matches for our straight debt issuers with respect to both size and book-to-market ratio.In addition,the matched firms do not differ significantly from the straight debt sample firms with respect to five-year pre-offer abnormal returns,six-month pre-offer abnormal returns,or firm age. The matched firms are not as similar to their sample firms for the convertible debt issuers.The matched firms are,on average,larger than their corresponding sample firms.Given the negative relation between firm size and expected return, however,this should bias against finding abnormal underperformance on the part of our convertible debt issuers.The matched firms are also older than the sample firms,and they have higher book-to-market ratios and lower pre-offer abnormal returns (on both the five-year and the six-month horizon).While the mismatch on book-to-market ratio and pre-offer returns could bias in favor of finding abnormal underperformance of our convertible debt sample,we present evidence in Section 5 that this is not the case. 2.3.Long-run returns measure To measure the long-run performance of our debt offering firms,we compute an aftermarket return from purchasing the shares of the issuing firm at the closing price on the day of the offering.The aftermarket consists of the following 60 months,where months are defined as successive 21-trading-day periods. Several studies,particularly Conrad and Kaul (1993)and Barber and Lyon (1997),show a potential bias induced by cumulating short-term abnormal

"rms making straight debt o!erings are, on average, more than four times as large as those making convertible o!erings. The mean pre-issue market capitalization is $898 million for the straight debt issuers and $211 million for the convertible issuers; the comparable size of seasoned equity issuers is $332 million. The book-to-market ratio of the straight debt "rms is higher than that of the convertible debt "rms, and, while both o!er types follow periods of strong stock market performance, the convertible issues follow periods of especially strong performance. Speci"cally, the mean pre-o!er abnormal buy-and-hold return for the "ve-year period preceding the o!er date is 74% for the straight debt sample and 187% for the convertible debt sample. Table 2 also provides evidence regarding the similarity of the sample and matched "rms with respect to several characteristics. The mean di!erence in market capitalization between the straight debt sample "rms and their matched "rms is not statistically di!erent from zero. The mean di!erence in book-tomarket ratios for the two sets is also not statistically di!erent from zero. While not reported in this table, 69% of the straight debt "rms have matched "rm sizes within 5% of their corresponding sample "rm sizes, and 92% have size matches within 10%. Sixty percent of the sample "rms have book-to-market matches within 5% and 78% have book-to-market matches within 10%. Thus, we appear to have achieved fairly precise matches for our straight debt issuers with respect to both size and book-to-market ratio. In addition, the matched "rms do not di!er signi"cantly from the straight debt sample "rms with respect to "ve-year pre-o!er abnormal returns, six-month pre-o!er abnormal returns, or "rm age. The matched "rms are not as similar to their sample "rms for the convertible debt issuers. The matched "rms are, on average, larger than their corresponding sample "rms. Given the negative relation between "rm size and expected return, however, this should bias against "nding abnormal underperformance on the part of our convertible debt issuers. The matched "rms are also older than the sample "rms, and they have higher book-to-market ratios and lower pre-o!er abnormal returns (on both the "ve-year and the six-month horizon). While the mismatch on book-to-market ratio and pre-o!er returns could bias in favor of "nding abnormal underperformance of our convertible debt sample, we present evidence in Section 5 that this is not the case. 2.3. Long-run returns measure To measure the long-run performance of our debt o!ering "rms, we compute an aftermarket return from purchasing the shares of the issuing "rm at the closing price on the day of the o!ering. The aftermarket consists of the following 60 months, where months are de"ned as successive 21-trading-day periods. Several studies, particularly Conrad and Kaul (1993) and Barber and Lyon (1997), show a potential bias induced by cumulating short-term abnormal D.K. Spiess, J. A{eck-Graves / Journal of Financial Economics 54 (1999) 45}73 51

54 D.K.Spiess,J.Affleck-Graves Journal of Financial Economics 54 (1999)45-73 returns over long periods.While Loughran and Ritter(1996)dispute the bias found by Conrad and Kaul (1993),Barber and Lyon (1997)and Kothari and Warner(1997)present evidence that using cumulated abnormal returns over long periods does lead to biased statistical tests.Barber and Lyon (1997)also show,however,that the bias disappears if a single matched control firm is used. We therefore measure long-run post-offering performance by computing hold- ing-period returns for each debt-issuing firm and its matched control firm over a five-year period following the debt offering date.If the offering firm is delisted before the five-year anniversary of its debt sale,the holding-period returns of that firm and its matched firm are truncated on the same day. In Section 4,we demonstrate the robustness of our results using several alternative methods.There,we report results of long-run performance based on average monthly abnormal returns rather than buy-and-hold returns,based on three-factor regressions of calendar-time abnormal returns,and using alterna- tive benchmarks of buy-and-hold returns. 3.Post-offering performance Table 3 reports the distributions of post-offering holding-period returns for sample firms,matched firms,and the paired differences.We also provide statistical results for differences in the mean and in the median holding-period return.Because we are interested in the abnormal returns associated with a debt offering by the typical firm,we focus throughout the remainder of the paper on medians but we do report means when they lead to important differences in the conclusions drawn. 3.1.Post-offering performance of straight debt issuers For the straight debt issuers,the median five-year holding-period return is 43.8%,while the median holding-period return for their size-and-book-to- market-matched counterparts is 65.8%.The median difference in holding- period returns is -18.7%and is significant at the 0.01 level using the Wilcoxon signed-ranks test.In addition,the difference between the holding-period return of the sample and the matched firms is negative in 56%of the cases,and this fraction is statistically different from 50%using a simple sign test.The mean holding-period return of 83.1%is not,however,statistically different from the 97.4%mean return for the matched firms.Our median results suggest that,for the individual firm,issuing debt is likely to be followed by a period of relative underperformance.The mean result indicates that it may be difficult for inves- tors to earn abnormal profits by trading on this underperformance. Prior studies such as Dann and Mikkelson(1984),Eckbo (1986),and Mikkel- son and Partch (1986)find an insignificantly negative price reaction to the

returns over long periods. While Loughran and Ritter (1996) dispute the bias found by Conrad and Kaul (1993), Barber and Lyon (1997) and Kothari and Warner (1997) present evidence that using cumulated abnormal returns over long periods does lead to biased statistical tests. Barber and Lyon (1997) also show, however, that the bias disappears if a single matched control "rm is used. We therefore measure long-run post-o!ering performance by computing holding-period returns for each debt-issuing "rm and its matched control "rm over a "ve-year period following the debt o!ering date. If the o!ering "rm is delisted before the "ve-year anniversary of its debt sale, the holding-period returns of that "rm and its matched "rm are truncated on the same day. In Section 4, we demonstrate the robustness of our results using several alternative methods. There, we report results of long-run performance based on average monthly abnormal returns rather than buy-and-hold returns, based on three-factor regressions of calendar-time abnormal returns, and using alternative benchmarks of buy-and-hold returns. 3. Post-o4ering performance Table 3 reports the distributions of post-o!ering holding-period returns for sample "rms, matched "rms, and the paired di!erences. We also provide statistical results for di!erences in the mean and in the median holding-period return. Because we are interested in the abnormal returns associated with a debt o!ering by the typical "rm, we focus throughout the remainder of the paper on medians but we do report means when they lead to important di!erences in the conclusions drawn. 3.1. Post-owering performance of straight debt issuers For the straight debt issuers, the median "ve-year holding-period return is 43.8%, while the median holding-period return for their size-and-book-tomarket-matched counterparts is 65.8%. The median di!erence in holdingperiod returns is !18.7% and is signi"cant at the 0.01 level using the Wilcoxon signed-ranks test. In addition, the di!erence between the holding-period return of the sample and the matched "rms is negative in 56% of the cases, and this fraction is statistically di!erent from 50% using a simple sign test. The mean holding-period return of 83.1% is not, however, statistically di!erent from the 97.4% mean return for the matched "rms. Our median results suggest that, for the individual "rm, issuing debt is likely to be followed by a period of relative underperformance. The mean result indicates that it may be di$cult for investors to earn abnormal pro"ts by trading on this underperformance. Prior studies such as Dann and Mikkelson (1984), Eckbo (1986), and Mikkelson and Partch (1986) "nd an insigni"cantly negative price reaction to the 54 D.K. Spiess, J. A{eck-Graves / Journal of Financial Economics 54 (1999) 45}73