SEO Risk Dynamics

• 成果类型: Article
• 署名作者: Carlson, Murray; Fisher, Adlai; Giammarino, Ron
• 署名单位: University of British Columbia
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq083
• 发表日期: 2010
• 页码: 4026
• 关键词: SEASONED EQUITY OFFERINGS; long-run performance; asset price dynamics; stock returns; corporate-investment; ISSUES PUZZLE; cross-section; SECURITY RETURNS; SYSTEMATIC-RISK; GROWTH OPTIONS

摘要

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)