私募股权投资对企业经营绩效影响研究——基于创业板上市公司数据的经验证据

选择135家创业板上市公司,运用多元回归分析对私募股权投资是否影响企业经营绩效进行了实证研究。结果表明,私募股权投资、私募股权数量对企业的资产收益率产生积极影响;持股比例和是否具有国有背景对经营绩效影响不显著。因此,建议私募机构应该与被投资企业进行长期合作、参与企业的经营管理;企业自身要充分利用私募机构的资源优势,避免盲目引入过多的私募机构。     

私募股权投资与证券分析师新股关注

本文采用2009年至2011年新上市的281家创业板公司为研究样本,考察私募股权投资如何影响证券分析师对被投资企业上市的关注程度。结果发现私募股权投资支持的企业能够吸引到更多的证券分析师关注,并且证券分析师的预测也更加准确,这与私募股权投资的认证假说和市场能力假说相符。此外,相比非外资背景的私募股权投资,外资背景的私募股权投资支持的企业在上市时受到更多的证券分析师关注,并且分析师预测准度也更高。进一步研究发现,参与上市公司的私募股权投资机构越多,对该上市公司关注的证券分析师越多,但并未发现对分析师预测准度的显著影响。本文的研究不仅丰富了PE与证券分析师的文献,也为我国如何加强建设内资PE团队提供了重要的参考价值。     

私募股权投资与公司盈利能力关系的实证分析

私募股权投资作为一项重要的金融创新,在国民经济发展中发挥着越来越重要的作用。PE与企业盈利能力关系的量化研究是分析PE对企业作用的关键,在论述国内外学者相关研究的基础上,通过构建实证模型,选取和处理我国创业板上市的153家公司2007~2009年度数据,研究得出私募股权投资与公司盈利能力具有显著的正相关关系,即私募股权投资的参与有助于提高企业的盈利能力。研究结果还表明,中小企业盈利能力与公司规模显著负相关,与公司年龄显著负相关,净资产收益率与资产负债率显著正相关,总资产收益率与资产负债率显著负相关。     

上证A股公司高管辞职公告的股价效应研究

近两年来上市公司高管变动现象越来越频繁,而高管辞职可能导致中小投资者对企业未来经营收益和稳定性产生动摇并改变投资行为,本文通过选取上证A股中2011年的发生高管变动的上市公司作为样本,运用标准事件研究法对131家发生高管变动的公司超额收益率进行统计研究,证实了高管离职具有负的公告效应,在一定程度上导致了该公司股票收益率的异常下降,影响时间段为[0,4]天,累计超额收益率达到-4.912%。     

上证A股公司高管辞职公告的股价效应研究

近两年来上市公司高管变动现象越来越频繁,而高管辞职可能导致中小投资者对企业未来经营收益和稳定性产生动摇并改变投资行为,本文通过选取上证A股中2011年的发生高管变动的上市公司作为样本,运用标准事件研究法对131家发生高管变动的公司超额收益率进行统计研究,证实了高管离职具有负的公告效应,在一定程度上导致了该公司股票收益率的异常下降,影响时间段为[0,4]天,累计超额收益率达到-4.912%     

定向增发新股、资产注入类型与上市公司绩效的关系——来自中国证券市场的经验证据

股权分置改革之后,通过定向增发新股实现控股股东向上市公司注入资产成为中国证券市场的"热点"问题。本文对2006-2007年间不同类型定向增发资产注入的短期宣告效应和长期持有超额收益率进行比较研究发现,其短期累积超额收益率无显著差异,但投资者获得的长期持有超额收益率与资产注入类型显著相关。当注入的资产与上市公司的业务相关时,投资者获得的长期持有超额收益率显著高于注入的资产与上市公司的业务不相关的长期持有超额收益率,因此,可能存在控股股东向上市公司注入劣质资产进行利益输送的现象。本文用大股东与小股东的代理理论解释了上述现象。     

沪深A股上市定向增发公告的股价效应研究

定向增发新股成为股权分置改革之后中国上市公司股权再融资的主要工具。本文运用事件研究法,通过我国上市公司2009年5月至2011年4月期间最新的A股数据,对宣告定向增发新股的公司股票价格的短期市场表现进行了实证研究。研究结果表明,我国上市公司定向增发存在显著为正的公告效应。在定向增长预案公告日前一周左右的时间内,定向增发公司股票累积平均超额收益率为0.720%,而在公告日前一天至当天的累积平均超额收益为1.766%。     

外资私募股权基金组织形式与投资策略的比较优势及对策

相比往年,私募股权投资机构的人民币募资、投资占比比例均有大幅提升.但是,外资依然在我国私募股权投资市场上扮演主角.与本土私募股权基金相比,外资私募股权基金在资金实力上,尤其在组织形式和投资策略上还存在着明显的比较优势.     

私募股权投资与现金股利政策

本文研究私募股权投资对被投资公司现金股利政策的影响。研究发现,有私募股权投资参与的公司更倾向于分配现金股利,且现金股利支付率较高,表明私募股权投资不仅影响公司现金股利的分配倾向,还影响现金股利的分配力度。进一步研究发现,私募股权投资的特征同样影响公司的现金股利政策,具体来说,外资背景、投资规模越大、投资期限越长和联合投资的私募股权投资参与的公司更倾向于分配现金股利且现金股利支付率较高。本文的结论对于完善公司现金股利政策以及保护中小投资者利益有重要的启示作用。     

中国私募股权投资的高回报表现——基于小肥羊的投资案例

本文通过分析3i集团和普凯基金对小肥羊公司的投资案例,从一个侧面揭示了中国私募股权投资的回报表现.经过计算此项投资的投资回报倍数和年化内部收益率得知,此项投资案例实现投资回报倍数3倍,内部收益率约60%的业绩.这一指标是欧美同类指标的3倍,表现了中国私募股权投资的高回报特征.     

Market reaction to announcements of legislative changes and Canadian bank takeovers of Canadian investment dealers

This study examines the market reactions of Canadian banks and investment dealers to regulatory changes regarding the ownership of investment dealers and to announcements of bank takeovers of investment dealers. The statistically significant and negative abnormal returns for the acquiring banks suggest that any potential benefits from economies of scope in joint bank/brokerage activities were totally reflected in the offering prices banks paid to target investment dealers. Consistent with the literature on mergers, positive and statistically significant excess returns are exhibited by the acquired investment dealers prior to takeover announcements. In-play and out-of-play rival (nontarget) investment dealers exhibit statistically significant positive and no abnormal returns, respectively. The findings of this study are consistent with competition in the market for the corporate control of investment dealers, and not with decreased competition in the brokerage industry. The findings imply that consumers of brokerage services are not harmed by takeovers. These findings may be useful to participants in the U.S. and Japanese financial markets as these countries undergo reforms similar to those recently experienced in Canada.     

What Drives Target Price Forecasts and Their Investment Value?

This paper examines the informativeness of analysts’ target price forecasts by relating the investment value of target prices to their primary drivers. Decomposing target price forecasts into near‐term earnings forecasts and price‐to‐earnings ratio forecasts, we show that target price revisions reflect information from both components. In addition, we also find that the relative importance of each component in target price revisions is related to firm characteristics. A portfolio based on target price implied expected returns delivers significant abnormal returns. More importantly, we find that the abnormal returns are associated with both earnings and price‐to‐earnings forecasts, which suggests that the informativeness of target price forecasts comes not only from analysts’ ability to forecast short‐term earnings but also from their ability to assess risk and long‐term growth prospect implied in price‐to‐earnings forecasts.     

To buy or not to buy? The value of contradictory analyst signals

We study the predictive ability of individual analyst target price changes for post-event abnormal stock returns within each recommendation category. Although prior studies generally demonstrate the investment value of target prices, we find that target price changes do not cause abnormal returns within each recommendation level. Instead, contradictory analyst signals (e.g., strong buy reiterations with large target price decreases) neutralize each other, whereas confirmatory signals reinforce each other. Further, our analysis reveals that large target price downgrades can be explained by preceding stock price decreases. However, upgrades are not preceded by stock price increases, thereby demonstrating asymmetric analyst behavior when adjusting target prices to stock prices. Our results suggest that investors should treat recommendations with caution when they are issued with large contradictory target price changes. Thus, instead of blindly following a recommendation, investors might put more weight on the change in the corresponding target price and consider transaction costs.     

The Stock Market and Corporate Investment: A Test of Catering Theory

We test a catering theory describing how stock market mispricingmight influence individual firms' investment decisions. We usediscretionary accruals as our proxy for mispricing. We finda positive relation between abnormal investment and discretionaryaccruals; that abnormal investment is more sensitive to discretionaryaccruals for firms with higher R&D intensity (opaque firms)or share turnover (firms with shorter shareholder horizons);that firms with high abnormal investment subsequently have lowstock returns; and that the larger the relative price premium,the stronger the abnormal return predictability. We show thatpatterns in abnormal returns are stronger for firms with higherR&D intensity or share turnover.     

The Wealth Effects of Capital Investment Decisions: An Empirical Comparison of Korean Chaebol and Non‐Chaebol Firms

Abstract:   This paper investigates the capital investment decisions of Korean firms and their impact on shareholder wealth. Overall, we find positive abnormal returns surrounding the announcements of 697 cases of investment projects during the period 1992–1999. This paper also finds that the investment decisions of business group ( chaebol ‐affiliated) firms do not increase shareholder wealth, while the capital investment decisions of non‐ chaebol firms generate significantly positive abnormal returns. The multivariate tests provide consistent evidence that the announcement effects for chaebol firms are lower than for non‐ chaebol firms, after growth opportunities, investment size and firm size are controlled for. The findings support the view that the organizational structure of Korean chaebols creates an incentive for managers to make non‐value maximizing capital investment decisions.     

Winners and Losers as Financial Service Providers Converge: Evidence from the Financial Modernization Act of 1999

The Financial Modernization Act of 1999 dramatically increased insurers' and investment banks' authority to provide an array of financial services and allowed commercial banks to offer investment banking and insurance services. In this paper we examine the market response to this legislation. We find a strong positive response among insurance companies and investment banks, and no significant response among commercial banks. Larger institutions in all three financial sectors earn higher abnormal returns. Additionally, better performing banks earn higher abnormal returns. Our results suggest that allowing financial convergence can add value through synergies and that large players are needed to exploit the scope economies.     

A NOTE ON THE BEHAVIOR OF SECURITY RETURNS: A TEST OF STOCK MARKET OVERREACTION AND EFFICIENCY

Researchers have debated stock market efficiency for years and have found several apparent anomalies, among them the overreaction investment strategy. In a sample of virtually all AMEX and NYSE stocks over twenty-one years, it is demonstrated that abnormal returns earned in one year are positively related to the abnormal returns earned in the next year. This evidence is contrary to the overreaction investment philosophy.     

An Empirical Test of Investment Restrictions and Efficiency in the High-Yield Debt Market

The results of this study indicate that bondholders earn significant abnormal returns following upgrades from speculative to investment grade. In contrast, major downgrades and upgrades from investment grade to highquality have no effect on bondholder wealth. These results support the conclusion that investment constraints for institutional investors inhibit the price of speculativegrade bonds from rising to reflect decreases in default risk until the rating change actually occurs.     

Intended Use of Proceeds,Underwriter Quality and the Long‐run Performance of SEOs in the UK

We document that prospectus disclosure of (i) the motives for a seasoned equity offering, and (ii) the choice of underwriter explain the long‐run performance of equity issuers in the UK. Firms citing investment needs show no abnormal performance after the offering and have higher investment rates post‐issue compared to the period before the offering. Issuers that state general corporate purposes and recapitalisation motives underperform, have similar investment rates pre‐ and post‐issue, and their leverage tends to increase after the offering. Further, consistent with the certifying role of underwriters, equity issues underwritten by high‐quality brokers show no evidence of post‐issue abnormal returns, but offerings taken public by low‐quality underwriters exhibit negative abnormal performance. Together, our results document the significant role that prospectus information on the intended use of offering proceeds and on the underwriter play in predicting issuers post‐offering performance in the UK.     

Sovereign wealth fund investment and the return-to-risk performance of target firms

This paper investigates the relationship between sovereign wealth fund (SWF) investment and the return-to-risk performance of target firms. Specifically, we find that target firm raw returns decline following SWF investment. Though risk also declines following SWF investment, we find that SWF investment is associated with a reduction in the compensation of risk over the 5 years following acquisition. Firm volatility decomposition suggests that idiosyncratic risk is what mainly drives these impacts toward decline. Employing a multinomial logit framework wherein combinations of target returns and risk movements are categorized, we see that, in cases of foreign investment, SWFs’ target firm performance most closely resembles that of other government-owned firms. The observed results are inconsistent with predictions of higher volatility and improved returns due to monitoring firm activities from the institutional investor literature. This suggests that SWFs may not provide some of the benefits that are offered by other institutional investors.