Corporate investment and asset price dynamics: Implications for SEO event studies and long-run performance

• 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: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2006.00865.x
• 发表日期: 2006
• 页码: 1009-1034
• 关键词: capital structure; equity offerings; SYSTEMATIC-RISK; GROWTH OPTIONS; stock returns; issues; FIRMS; INFORMATION; decisions; valuation

摘要

We present a rational theory of SEOs that explains a pre-issuance price run-up, a negative announcement effect, and long-run post-issuance underperformance. When SEOs finance investment in a real options framework, expected returns decrease endogenously because growth options are converted into assets in place. Regardless of their risk, the new assets are less risky than the options they replace. Although both size and book-to-market effects are present, standard matching procedures fail to fully capture the dynamics of risk and expected return. We calibrate the model and show that it closely matches the primary features of SEO return dynamics.