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SEO Risk Dynamics
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DOI：10.1093/rfs/hhq083.png)
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摘要
En 中文
We theoretically and empirically investigate firm-level risk dynamics around seasoned equity offerings (SEOs). Empirically, beta increases before SEOs and decreases gradually thereafter. Using real options theory, commitment-to-invest generates a gradual post-issuance beta decline whereas instantaneous investment and time-to-build do not. In a behavioral theory, systematic mispricing can cause increasing pre-issuance and decreasing post-issuance risk but idiosyncratic mispricing cannot. In the empirical cross-section, investment, own-firm runup, SEO proceeds, and primary issuance associated with the real options theory predict beta declines. Sentiment proxies have weaker effects in the full sample, but are significant in a post-1996 subsample. SEOs coincide with low firm- and market-volatility, suggesting volatility-timing in corporate decisions. (JEL G14, G31, G32)
Keyword:
SEASONED EQUITY OFFERINGS
LONG-RUN PERFORMANCE
ASSET PRICE DYNAMICS
STOCK RETURNS
CORPORATE-INVESTMENT
ISSUES PUZZLE
CROSS-SECTION
SECURITY RETURNS
SYSTEMATIC-RISK
GROWTH OPTIONS
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2.8K
被引数:
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JOURNAL OF FINANCE
JOURNAL OF FINANCEIF9.5
PREAI
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