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    Title: 私募基金與高收益債券長期績效
    Other Titles: Private Equity and Long-Run Performance of High-Yield Bond
    Authors: 湛可南
    Contributors: 財務管理學系
    Keywords: 私募基金(private equity);融資併購(leveraged buyout);高收益債券;債券長期績效
    private equity;leveraged buyout;high-yield bond;bond long-run performance
    Date: 2014
    Issue Date: 2015-08-05 11:11:58 (UTC+8)
    Abstract: 私募基金對國家的經濟活動有重大的影響,比如説,在2006 和2007 年,私募基金 主導的融資併購(leveraged buyout, or LBO)金額就高達$1.4 兆美金。為了讓交易能順利 進行,私募基金使用大量的高收益債券以進行融資。儘管高收益債券在融資併購等交易 活動上扮演了關鍵的角色,但有關高收益債券績效表現的研究卻付之闕如。 尤其近來的研究開始關注融資併購中的債權結構,並討論融資併購市場過熱的現 象。但與融資併購密切相關的高收益債券,文獻對於其重要的議題並未探討,像是這些 為融資併購所發行的高收益債券,是否存在系統性的定價偏誤,而其投資者是否獲取了 風險調整下應有的報酬等問題,都需要釐清。 本計畫的目的在了解由私募基金主導發行的高收益債券,其長期績效表現如何。過 去許多的研究雖然已指出私募基金藉由改善營運及資本結構,增加了融資併購中被收購 公司的價值,但這都只是從股東的角度來看;高收益債券的投資者是否獲利,文獻並沒 有著墨。事實上,股東的價值提升,有可能是來自高收益債券持有者的損失。我們將利 用最近研究所建議的新方法,檢測高收益債券的超額報酬。 另外,我們提出並檢測三個假說:過度風險(excess risk)、市場擇時(market timing)、 私募基金信譽(private equity reputation),以進一步了解高收益債券的績效表現。過度風 險假說認為私募基金有時對融資的安排,風險太高,以致對債券的報酬產生負面的影 響;市場擇時假說則認為私募基金會利用債券市場過熱時,進行融資併購;最後,私募 基金的信譽可能與高收益債券的長期績效有密切關係。 本計畫是第一個有系統且完整地對融資併購所發行的高收益債券,進行其長期績效 的研究,對日後的相關研究有重要的參考價值;另外,本計畫檢測各種假說,以深入了 解私募基金進行融資併購的行為,以及其對高收益債券報酬的影響。這些討論對文獻、 政策制定、及投資人等,均有重要的啟示。
    Private equity contributes significantly to the investment in the economy. Over the period of 2006-2007, there are more than 5,000 leveraged buyouts (LBOs) with a transaction value of $1.4 trillion. To finance these LBOs, private equity groups rely heavily on high-yield bonds. In spite of the economic importance and significance of the high-yield bond market for private equity related transactions, little research has examined the performance of bonds issued to finance LBOs. The debt structure of LBOs has recently come under scrutiny. Recent studies also suggest that the LBO market was overheated due to rapid growth of securitization market. In spite of this recent focus on financial structure and overheated LBO markets, the literature is silent about whether there may exist systematic mispricing in high-yield bonds sponsored by private equity and whether investors in these bonds are fairly compensated or not. We empirically study the long-run performance of bonds backed by private equity in this project. There is growing evidence that private equity adds value to LBO target firms by improving their operating efficiency and capital structure, but whether private equity sponsors also bring value to high-yield bond investors remains uninvestigated. It is plausible that private equity sponsors, as the equityholders, gain at the expense of investors of bonds used to finance LBOs. We evaluate value creation in bonds backed by private equity by formally testing whether these bonds outperform comparable benchmarks using the methodology introduced recently. We also propose and examine three hypotheses related to highly leveraged transactions. We test the excess risk hypothesis, which argues that private equity sponsors may take too much risk in arranging debt financing, leading to lower returns of bonds involved. We also examine whether private equity groups engage in market timing by issuing bonds when the market is overheated. Finally, we test if the track record and reputation of private equity help mitigate the potential agency problem in LBOs. This project has potential to make important contributions to the literature. To the best of our knowledge, this is the only work that systematically examines the performance of bonds sponsored by private equity. We collect a comprehensive set of bonds associated with private equity transactions and our sampling approach can be a benchmark for future research in the field. More importantly, our research sheds light on how private equity groups structure deals and make profits in LBO transactions. We believe our project has important implications to investors, policy makers, and researchers.
    Relation: NSC102-2410-H004-026-MY2
    PF10301-0889
    Data Type: report
    Appears in Collections:[財務管理學系] 國科會研究計畫

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