Seasoned public offerings: resolution of the 'new issues puzzle'

• 成果类型: Article
• 署名作者: Eckbo, BE; Masulis, RW; Norli, O
• 署名单位: Dartmouth College; Vanderbilt University; University of Toronto
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(00)00041-6
• 发表日期: 2000
• 页码: 251-291
• 关键词: new issues puzzle; long-run performance; factor risk; seasoned public offerings; equity issuer

摘要

The 'new issues puzzle' is that stocks of common stock issuers subsequently underperform nonissuers matched on size and book-to-market ratio. With 7000 + seasoned equity and debt issues, we document that issuer underperformance reflects lower systematic risk exposure for issuing firms relative to the matches. A consistent explanation is that, as equity issuers lower leverage, their exposures to unexpected inflation and default risks decrease, thus decreasing their stocks' expected returns relative to matched firms. Equity issues also significantly increase stock liquidity (turnover), again lowering expected returns relative to nonissuers. We conclude that the 'new issue puzzle' is explained by a failure of the matched-firm technique to provide a proper control for risk. This conclusion is robust to issue characteristics and the choice of factor model framework. (C) 2000 Elsevier Science S.A, All rights reserved. JEL classification: G12; G14; G32.