Heterogeneous beliefs and return volatility around seasoned equity offerings

• 成果类型: Article
• 署名作者: Hibbert, Ann Marie; Kang, Qiang; Kumar, Alok; Mishra, Suchi
• 署名单位: West Virginia University; State University System of Florida; Florida International University; University of Miami
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.03.003
• 发表日期: 2020
• 页码: 571-589
• 关键词: Return volatility; SEOs; Analyst forecast dispersion; Trade-based heterogeneity in beliefs; Short selling

摘要

We investigate the dynamics of heterogeneous beliefs and link them to the volatility pattern throughout the seasoned equity offering (SEO) event window. In sync with a reduction in information asymmetry related to management information releases around the SEO event, belief heterogeneity declines. Moreover, heterogeneity in beliefs, proxied by either analyst- or institutional-trade-based measures, is a robust and salient determinant of SEO firm volatility, which provides an explanation for the volatility timing puzzle identified in the SEO market. Furthermore, the relation between heterogeneous beliefs and return volatility weakens as short sale constraints tighten, suggesting a potential causal link. (C) 2020 Elsevier B.V. All rights reserved.