خرید بازار آزاد از سهام عمومی توسط سرمایه گذاران خصوصی: اثرات جانبداری اصلی و اندازه

This paper analyses 689 open-market purchases of public equity by private equity investors (PEIs) between 1999 and 2008. On average, we find a positive market reaction to the public announcement of such purchases in both the short and long term. Based on the long-term event study approach of Mitchell and Stafford (2000), we also found that a portfolio of stocks bought by private equity investors achieves a yearly alpha of between 8.5% and 13.5%. In general, the short-term alphas and the long-term alphas are more pronounced when private equity investors buy a listed stock of their home country than when they invest abroad. This justifies a home bias in private equity investments. We also found that investment in small capitalized stocks produces higher excess returns than an investment in large stocks. The abnormal returns are lower for longer time periods, but they are significant in the short-term and over a 1-year horizon. Thus, we find evidence for a size effect in private equity investments.

Over the last few years, PEIs have increasingly sought to invest in companies that are listed on a stock exchange. Typically, PEIs invest by buying a block of the company's shares through an exchange (i.e., an open-market purchase). This is the form of private equity investment investigated in this paper. Alternatively, PEIs can participate in a PIPE deal (private investments in public equity), which involves the selling of common shares or some form of preferred stock to private investors in a non-open-market deal (e.g., equity issue), of which private equity companies form one group. The empirical findings on PIPE deals are discussed below. As Sjostrom (2007) outlines, PIPEs have become an important source of financing for many public companies. From 1996 to 2006, US companies closed on 9368 PIPE deals, raising approximately $150 billion in the aggregate.3 Even though corporations of all sizes have used PIPEs to raise capital, PIPE deals have become a vital financing source for small public companies, for which this form of capital often represents the only financing option.4

Our paper has analysed 689 investments open-market purchases of public equity by private equity investors in the period from January 1999 to February 2008. On average, we find both a short- and a long-term positive market reaction to the public announcement of the deal. Based on the long-term event study approach of Mitchell and Stafford (2000), a portfolio of stocks bought by private equity investors achieves an annualized alpha of between 8.5% and 13.5%. In general, the short-term alphas and the long-term alphas are more pronounced when private equity investors buy a listed stock of their home country than when they invest abroad. Also, an investment in small capitalized stocks produces higher excess returns than an investment in large stocks.