Mutual Fund Trading Pressure: Firm-Level Stock Price Impact and Timing of SEOs

• 成果类型: Article
• 署名作者: Khan, Mozaffar; Kogan, Leonid; Serafeim, George
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; Massachusetts Institute of Technology (MIT); Harvard University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01750.x
• 发表日期: 2012
• 页码: 1371-1395
• 关键词: corporate-finance; demand curves; AGENCY COSTS; cash flow; MARKET; issues; RISK; valuation

摘要

We use price pressure resulting from purchases by mutual funds with large capital inflows to identify overvalued equity. This is a relatively exogenous overvaluation indicator as it is associated with who is buyingbuyers with excess liquidityrather than what is being purchased. We document substantial stock price impact associated with purchases by high-inflow mutual funds, and find the probability of a seasoned equity offering (SEO), insider sales, and the probability of a stock-based acquisition increase significantly in the four quarters following the mutual fund buying pressure. These results provide new evidence that firm managers are able to identify and exploit overvalued equity.