Real effects of stock underpricing

• 成果类型: Article
• 署名作者: Hau, Harald; Lai, Sandy
• 署名单位: University of Geneva; University of Geneva; University of Hong Kong
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.11.001
• 发表日期: 2013
• 页码: 392-408
• 关键词: Market inefficiency; fire sales; Mutual funds; INVESTMENT; EMPLOYMENT

摘要

This paper provides evidence for a causal effect of equity prices on corporate investment and employment. We use fire sales by distressed equity funds during the 2007-2009 financial crisis to identify substantial exogenous underpricing. Firms whose stocks are most underpriced have considerably lower investment and employment than industry peers not subject to any fire sale discount. The causal effect of underpricing on investment is found to be largely concentrated on the most financially constrained firms. (C) 2012 Elsevier B.V. All rights reserved.