Exchange Offers and Stock Swaps: New Evidence
利用1962-1984年数据，比较了关于交换要约和股票互换的六种解释，发现信号假说最符合实证结果：增加杠杆的交换要约降低系统风险、提升盈利和资产，且内部人会在公告前增持股票；减少杠杆的交换要约则相反。
Using data from the interval 1962-1984, we compare six explanations for exchange offers and swaps. Our empirical results are most consistent with the hypothesis that exchange offers are interpreted as signals about future cash flows. We find that leverage-increasing exchange offers result in decreases in systematic risk; increases in share-adjusted earnings, sales, and total assets; and that insider stock purchases increase shortly before the public announcement. Opposite results are found for leverage-decreasing exchange offers. In addition, leverage-increasing firms are one-tenth the size of leverage-decreasing firms and are more closely held. Separate cross-sectional regressions, first with the announcement day abnormal returns and then with changes in beta as dependent variables, also are consistent with the signalling hypothesis. Other than the signalling hypothesis, tax savings is the best among the remaining competing hypotheses. However, in cross-sectional tests using announcement returns as the dependent variable, the tax effect is significantly positive for a sample of 102 leverage-decreasing events. This single piece of evidence is inconsistent with the tax savings hypothesis.