可转换债券与股票价格联动关系分析外文翻译资料

International Review of Economics and Finance 15 (2006) 97 – 119

www.elsevier.com/locate/iref

Long-run abnormal performance following convertible preference share and convertible bond issues:

New evidence from the United Kingdom

Abhay Abhyankara, Keng-Yu Hob,T

aDurham Business School, University of Durham, Durham DH1 3LB, United Kingdom

bDepartment of Finance, National Central University, Taoyuan 320, Taiwan

Received 22 January 2003; received in revised form 3 March 2004; accepted 29 March 2004

Available online 31 May 2004

Abstract

We study the long-run abnormal performance of a sample of U.K. firms following convertible preference share and convertible bond issues over the period 1982–1996. We are the first to study, as far as we are aware, the long- run stock price performance of firms following convertible preference share issues. Furthermore, our data set has been extracted from original sources and thus mitigates to some extent concerns about data-snooping biases. We measure long-run abnormal performances both prior to and following the issuance of convertible bonds and convertible preference shares and by the method of the issue used. Using a range of metrics to assess the robustness of long-run abnormal performance, we find evidence of pre-offer overperformance and post-offer underperformance using buy-and-hold abnormal returns (BHARs). However, post-offer underperformance is statistically significant in the case of convertible preference share issuers. Implementing a calendar-time approach, we again find underperformance for convertible preference share issuers. We do not find any evidence of long-run stock price underperformance for firms following the issuance of convertible bonds.

D 2004 Elsevier Inc. All rights reserved.

JEL classification: G00; G14; G30

Keywords: Convertible preference share; Convertible bond; Long-run abnormal performance; Event study

T Corresponding author. Tel.: 886 3 4227151x6263; fax: 886 3 425 2961.

E-mail address: kengyuho@cc.ncu.edu.tw (K.-Y. Ho).

1059-0560/$ - see front matter D 2004 Elsevier Inc. All rights reserved. doi:10.1016/j.iref.2004.03.001

1. Empirical results

We begin by reporting our results for the pre-offer abnormal performance of convertible security issuers and then focus on our main results for the long-horizon post-offer abnormal performance based on both BHAR and CTAR.

We use two benchmarks, the FTSE All-Share Index and size/book-to-market-matched portfolios, to calculate the BHARs. However, we focus our discussion of the empirical results mainly on BHARs using size/book-to-market-matched portfolios as benchmarks (see, e.g., Fama amp; French, 1992, 1993). We also calculate both value- and equal-weighted abnormal returns. As suggested by Fama (1998), value-weighted returns provide a measure of the aggregate wealth effects experienced by investors, whereas the equal-weighted returns, as argued by Loughran and Ritter (1995) measure the abnormal performance of a firm undergoing a particular event.

• • Pre-offer abnormal performance

We briefly present in Table 4 our results for the long-run abnormal performance 3 years prior to the convertible preference share and convertible bond issues. We study pre-offer performance to examine whether convertible securities are issued following a run-up in the stock price of issuing firms, as noted in the case of seasoned equity issues. We are able to, as a result, compare pre- and post-offer

Table 4

Three-year pre-offer BHARs for convertible preference share and convertible bond issues

Methods of issues FTSE All-Share Index Size/book-to-market-matched portfolios

Panel B: Convertible bond

剩余内容已隐藏，支付完成后下载完整资料

英语译文共 4 页，剩余内容已隐藏，支付完成后下载完整资料

资料编号：[486521]，资料为PDF文档或Word文档，PDF文档可免费转换为Word