D.K.Spiess,J.Affleck-Graves Journal of Financial Economics 54 (1999)45-73 55 Table 3 Distribution of five-year holding-period returns following independent debt offerings in 1975-1989 Holding-period returns (HPRs)are calculated as [(1+R)-1]x 100%,where Rr is the return on stock i on the tth day after the debt issue and T is the number of days from the offering date to the end of the holding period(t-statistics for the differences in means are presented in parentheses).For sample firms that were delisted before the five-year anniversary of the offering.the HPR is calculated until the delisting date,and the corresponding matched firm's return is calculated over the same truncated period.If the matched firm is delisted or issues new debt,the next closest matched firm's return is used.Matched firms are chosen based on size and book-to-market ratio Percentile Straight debt %HPR (n 392) Convertible debt %HPR (n=400) Sample Matched Difference Sample Matched Difference firms firms firms firms Lowest -98.65 -97.76 -1131.96 -99.95 -99.25 -985.77 5th -88.25 -45.23 -278.28 -92.24 -75.66 -312.17 10th -66.13 -27.48 -231.94 -84.69 -60.95 -219.86 15th -38.76 -12.57 -161.23 -72.54 -49.37 -165.09 20th -23.50 2.31 -135.30 -65.79 -35.73 -137.80 25th -12.25 16.79 -118.18 -49.33 -23.11 -113.04 30th -0.00 23.53 -96.95 -37.67 -11.84 -87.06 35th 6.44 34.65 -71.69 -27.13 0.08 -66.25 40th 18.63 45.90 -49.06 -14.29 10.40 -52.63 45th 28.68 54.35 -30.95 -4.07 19.74 -33.92 Median' 43.80 65.82 -18.71** 3.45 28.22 -19.78** 55th 56.53 75.31 -4.80 13.57 36.88 -8.83 60th 71.02 90.38 9.17 24.34 49.60 4.31 65th 92.02 100.76 23.16 31.28 61.54 16.35 70th 105.66 115.89 41.05 45.43 77.67 26.32 75th 131.93 137.68 68.36 60.04 94.70 41.88 80th 148.37 166.65 97.33 76.19 119.49 55.62 85th 175.00 200.89 121.35 95.30 165.45 85.05 90th 219.97 258.32 154.42 135.62 215.52 115.44 95th 301.24 372.36 242.00 213.06 324.03 177.25 Highest 3998.09 1138.42 2983.16 1442.36 908.94 1431.96 Mean 83.06 97.37 -14.30 23.19 60.14 一36.95** t=-1.16 t=-4.10) Note:One,two,and three asterisks indicate significance at the 10%,5%,and 1%level,respectively, using paired t-tests for the differences in means and Wilcoxon signed-ranks tests for the differences in medians. "For the straight debt firms,the p-value for the difference in medians is 0.0031,and for the convertible debt firms this p-value is 0.0001. announcement of straight debt offerings.This led to the conclusion that,unlike equity and convertible debt issues,straight debt offerings have no impact on shareholder wealth.In contrast,we find evidence of long-run underperformance following straight debt issues that is both economically and statistically significant.Table 3 Distribution of "ve-year holding-period returns following independent debt o!erings in 1975}1989 Holding-period returns (HPRs) are calculated as [<Ti t/1(1#Rit)!1]]100%, where Rit is the return on stock i on the tth day after the debt issue and ¹i is the number of days from the o!ering date to the end of the holding period (t-statistics for the di!erences in means are presented in parentheses). For sample "rms that were delisted before the "ve-year anniversary of the o!ering, the HPR is calculated until the delisting date, and the corresponding matched "rm's return is calculated over the same truncated period. If the matched "rm is delisted or issues new debt, the next closest matched "rm's return is used. Matched "rms are chosen based on size and book-to-market ratio Percentile Straight debt %HPR (n"392) Convertible debt %HPR (n"400) Sample "rms Matched "rms Di!erence Sample "rms Matched "rms Di!erence Lowest !98.65 !97.76 !1131.96 !99.95 !99.25 !985.77 5th !88.25 !45.23 !278.28 !92.24 !75.66 !312.17 10th !66.13 !27.48 !231.94 !84.69 !60.95 !219.86 15th !38.76 !12.57 !161.23 !72.54 !49.37 !165.09 20th !23.50 2.31 !135.30 !65.79 !35.73 !137.80 25th !12.25 16.79 !118.18 !49.33 !23.11 !113.04 30th !0.00 23.53 !96.95 !37.67 !11.84 !87.06 35th 6.44 34.65 !71.69 !27.13 0.08 !66.25 40th 18.63 45.90 !49.06 !14.29 10.40 !52.63 45th 28.68 54.35 !30.95 !4.07 19.74 !33.92 Median! 43.80 65.82 !18.71*** 3.45 28.22 !19.78*** 55th 56.53 75.31 !4.80 13.57 36.88 !8.83 60th 71.02 90.38 9.17 24.34 49.60 4.31 65th 92.02 100.76 23.16 31.28 61.54 16.35 70th 105.66 115.89 41.05 45.43 77.67 26.32 75th 131.93 137.68 68.36 60.04 94.70 41.88 80th 148.37 166.65 97.33 76.19 119.49 55.62 85th 175.00 200.89 121.35 95.30 165.45 85.05 90th 219.97 258.32 154.42 135.62 215.52 115.44 95th 301.24 372.36 242.00 213.06 324.03 177.25 Highest 3998.09 1138.42 2983.16 1442.36 908.94 1431.96 Mean 83.06 97.37 !14.30 23.19 60.14 !36.95*** (t"!1.16) (t"!4.10) Note: One, two, and three asterisks indicate signi"cance at the 10%, 5%, and 1% level, respectively, using paired t-tests for the di!erences in means and Wilcoxon signed-ranks tests for the di!erences in medians. !For the straight debt "rms, the p-value for the di!erence in medians is 0.0031, and for the convertible debt "rms this p-value is 0.0001. announcement of straight debt o!erings. This led to the conclusion that, unlike equity and convertible debt issues, straight debt o!erings have no impact on shareholder wealth. In contrast, we "nd evidence of long-run underperformance following straight debt issues that is both economically and statistically signi"cant. D.K. Spiess, J. A{eck-Graves / Journal of Financial Economics 54 (1999) 45}73 55