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Title page
Contents
Abstract 2
1. Introduction 3
2. Data and Sample Description 8
2.1. Data 8
2.2. Summary Statistics for FR Y-14Q sample 13
3. Pre-LBO Credit Market Conditions and post-LBO Target Behavior 15
3.1. Illustrative LBO Example 15
3.2. Pre-LBO Credit Market Conditions and LBO Leverage 18
3.3. Post-buyout Changes of Financial Variables 21
3.4. Pre-LBO Trend Tests 29
3.5. Do Post-LBO Business Conditions Drive the Results? 34
4. Do Agency Costs of Debt Explain the Results? 36
4.1. Agency Costs of Debt: Bank-Assigned Probability of Default 37
4.2. Risk Shifting versus Debt Overhang: Evidence from Covenants 43
5. Conclusions 48
References 50
Appendix A. Institutional Details and Data Processing 67
Appendix B. Measure of Credit Market Conditions 76
Appendix C. Proof and Additional Results 91
Table 1. Summary Statistics for the FR Y-14Q Sample 55
Table 2. Regression of LBO Transaction Leverage on the Level and Change of the HY OAS 56
Table 3. Regression of the LBO Transaction Leverage Decomposition on the Level and Change of the High-Yield Option-Adjusted Spread 57
Table 4. Regression of LBO Transaction Leverage on the Level and Change of the High-Yield Option-Adjusted Spread between Signing and Close 58
Table 5. Regression of the Changes of Financial Variables after LBOs on the 6-month Change of High-Yield Option-Adjusted Spread; LBO Targets Only 59
Table 6. Regression of the Changes of Financial Variables after LBOs on the 6-month Change of High-Yield Option-Adjusted Spread; LBO Targets and... 60
Table 7. Pre- and Post-buyout Trends: Sensitivity of Difference of Performance Variables between the LBO Targets and non-LBO Control Firms, Relative to... 62
Table 8. Regression of the Changes of Post-LBO Target Performance Variables on the Pre-LBO 6-month Change of High-Yield Option-Adjusted Spread and... 63
Table 9. Regression of the Pre-Post LBO Change of Log of Probability of Default Assigned by Banks on the High-Yield Option-Adjusted Spread 64
Table 10. Regression of the Strictness of Financial Covenants for LBO Loan Deals on the High-Yield Option-Adjusted Spread; LBO Deals and Control Deals 65
Table 11. Regression of Post-LBO Covenant Compliance on the High-Yield Option-Adjusted Spread; LBO Deals and Control Deals 66
Figure 1. Example - Staples, Inc. LBO Timeline and Stock Prices 53
Figure 2. Univariate Regression Coefficient of log (D/EV) 54
Table A1. Interquartile Range and Correlation of the 3-year Change of Performance Variables 108
Table A2. Correlations of HY OAS (sₜ) 109
Table A3. Regression of LBO Transaction Leverage on the Level and 6-month Change of Alternative Spreads 110
Table A4. Regression of the LBO Transaction Leverage on the High-Yield Option-Adjusted Spread Controlling for Other Rate/Ratio 111
Table A5. Regression of the Changes of Financial Variables after LBOs on the level of High-Yield Option-Adjusted Spread at LBO Close; LBO Targets and... 112
Table A6. Regression of the Changes of Performance Variables after LBOs on the 4-month Change of High-Yield Option-Adjusted Spread; LBO Targets... 114
Table A7. Difference-in-Difference Regression of the Post-LBO Target Performance Variables 115
Table A8. Pre- and Post-buyout Trends: Difference of Performance Variables between the LBO Targets and non-LBO Control Firms, Relative to a Year before LBO 116
Table A9. Pre- and Post-buyout Trends: Sensitivity of Difference of Performance Variables between the LBO Targets and non-LBO Control Firms, Relative to... 117
Table A10. Regression of the Changes of Post-LBO Target Financial Variables on the Level of High-Yield Option-Adjusted Spread at 6 Months before LBO... 118
Table A11. Regression of the Changes of Post-LBO Target Performance Variables on the Lag and Lead 6-month Changes of High-Yield Option-Adjusted Spread;... 119
Table A12. Regression of the Shifted Changes of Post-LBO Target Performance Variables on the Lag and Lead 6-month Changes of High-Yield Option-Adjusted... 120
Table A13. Regression of the Changes of Post-LBO Target Performance Variables on the Pre-LBO 6-month Change of Alternative Spreads; LBO Targets and... 121
Table A14. Regression of the Changes of Post-LBO Target Performance Variables on the Pre-LBO 6-month Change of High-Yield Option-Adjusted Spread... 122
Table A15. Regression of the LBO Change of Log of Probability of Default Assigned by Banks on the High-Yield Option-Adjusted Spread; Splitting Periods 123
Table A16. Pre- and Post-buyout Trends: Difference of (log) Default Probability between the LBO Targets and non-LBO Control Firms, Relative to a Year before LBO 124
Table A17. Regression of the LBO Change of Log of Probability of Default Assigned by Banks on the 6-month Change of High-Yield Option-Adjusted Spread:... 125
Table A18. Regression of the Strictness of Financial Covenants for LBO Loan Deals on the High-Yield Option-Adjusted Spread; LBO Deals Only 126
Table A19. Regression of Post-LBO Covenant Compliance on the High-Yield Option-Adjusted Spread; LBO Deals Only 127
Table A20. Regression of the Variables Related to Target Strategies on the Level and Change of the High-Yield Option-Adjusted Spread 128
Figure A1. Illustration of Simplified Structure of an LBO 103
Figure A2. Illustration of the Timeline of Typical LBOs 104
Figure A3. Level and Change of the HY OAS 105
Figure A4. Public-to-Private LBO Target Stock Return Beta on the Daily Change of the HY OAS 106
Figure A5. Effect of Credit Spreads on the Monthly Rate of LBO Activities and LBO Terminations 107
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