An Empirical Investigation of Short-Selling Activity Prior to Seasoned Equity Offerings

We investigate the nature and magnitude of short-selling activity around seasoned equity offerings, the relation between short-selling activity and issue discounts, and the consequences of the Securities and Exchange Commission (SEC's) adoption of Rule 10b-21 in response to concerns about manipulative short-selling practices. Seasoned offerings are characterized by abnormally high levels of short selling and option open interest. Higher levels of such activity are related to lower expected proceeds from the issuance of new shares. Where it could not be circumvented, Rule 10b-21 appears to have curbed short-selling activity and reduced issue discounts.     

Corporate Financial Policy,Information, and Market Expectations: An Empirical Investigation of Dividends

This paper documents a relationship between announcements of unexpected changes in financial policy and unexpected changes in performance of the firm. Using a new methodology that combines analysis of stock price movements and earnings forecast data, the authors provide evidence that analysts revise their earnings forecasts following the announcement of an unexpected dividend change by an amount positively related to the size of the unexpected dividend change. They also provide evidence that these revisions are positively related to the change in equity value surrounding the announcement. Further, they find that these revisions are consistent with rationality. Their results therefore provide direct evidence consistent with the hypothesis that unexpected dividend changes signal information about firm performance to market participants.     

Seasoned Equity Issues in a Closely Held Market: Evidence from France

This paper examines seasoned equity offerings in France. Eventhough a rights offering is the primary flotation method, Frenchcompanies are increasingly using the relatively expensive publicoffering method. We show that the market reaction to the announcementof seasoned equity issues is significantly negative for rightsissues and insignificantly negative for public offerings. Ourresults suggest that the adverse selection effect is greaterfor rights issues than for public offerings, due to strongerunderwriter certification for the public offerings. We findthat the share price effect is positively related to blockholderstake-up renouncements for firms with prior concentrated ownership.For these firms, the favourable ownership dispersion effectoffsets the adverse selection effect. JEL Classification: G32,G14 and D80.     

Seasoned Equity Issues in a Closely Held Market: Evidence from France

This paper examines seasoned equity offerings in France.Even though a rights offering is the primary flotation method, French companies are increasingly usingthe relatively expensive public offering method. We show that the market reaction to the announcementof seasoned equity issues is significantly negative for rights issues and insignificantly negative forpublic offerings. Our results suggest that the adverse selection effect is greater for rights issues thanfor public offerings, due to stronger underwriter certification for the public offerings. We find that theshare price effect is positively related to blockholders take-up renouncements for firms with priorconcentrated ownership. For these firms, the favourable ownership dispersion effect offsets the adverse selection effect.     

An Analysis of Closed-end Fund Seasoned Equity Offerings

We examine the stock price reaction to seasoned equity offerings (SEOs) of closed‐end funds and the determinants of the issuance decision. We find that sample funds have negative and significant average announcement‐day returns that are less than the returns associated with industrial firm SEOs, most likely because funds have fewer information asymmetries. Issuing funds have higher pre‐issue returns, higher premiums, lower betas, and lower three‐year, post‐issue returns than nonissuing funds. The results of the study are consistent with the argument that fund managers time issues to take advantage of mean reversion in fund returns.     

An Empirical Investigation of the Role of Signalling in the Valuation of Unseasoned Equity Issues

This paper investigates the role of signalling in the valuation of unseasoned equity issues on the Unlisted Securities Market (USM) in the UK. It extends the existing US literature by considering a wider range of signals and by taking note of the complexities of the issuing process. From the signals considered, firm value is significantly and positively related to the percentage of equity retained by the pre-offering entrepreneurs, the level of planned capital expenditures, the degree of underpricing, the quality of the reporting accountants and the relative costs of flotation. Additional results indicate that firm size and the motivations behind the seeking of a stock market listing affect firm valuations.     

An Empirical Examination of the Pricing of Seasoned Equity Offerings: A Test of the Signaling Hypothesis

This paper tests the predictions made by Signaling Theory against the competing Price–Irrelevance Hypothesis (Eckbo and Masulis, 1992). Signaling Theory suggests that the issue price of a security provides a signal of quality of the issuing firm. In contrast, the Price–Irrelevance Hypothesis suggests that equity pricing does not possess information content. This paper investigates the pricing of seasoned equity offerings by examining the role of firm quality and relative firm valuation on issue price discounts. Additionally, this paper investigates the relationship between the issue price discount and the market reaction at the issuance of seasoned equity offerings. The results indicate that firm quality does not have a significant impact on the degree of price discounting by the issuing firm. Relative firm market valuation does appear to be a determinant of the magnitude of discounting in setting the issue price. This paper also provides evidence that seasoned equity offerings firms that provide a lower issue-price discount experience a lower stock-price decline following the issuance as compared to firms offering a higher price discount.     

The Long-Term Performance of Corporate Bonds (and Stocks) Following Seasoned Equity Offerings

Previous studies document negative long-term abnormal stockreturns following seasoned equity offering (SEO) issuances andconclude that markets are inefficient. Other studies, however,argue that these results are a manifestation of risk mismeasurement(i.e., the bad-model problem), not market inefficiency. We testthe efficient market hypothesis (EMH) and avoid the bad-modelproblem by examining the long-term performance of our samplefirms' bonds and stocks following their SEOs. Our results areinconsistent with the EMH. We also provide evidence that SEOstransfer wealth from shareholders to bondholders because SEOsreduce default risk.     

An Analysis of Seasoned Equity Offerings by Equity REITs, 1991 to 1995

This article examines the valuation effect around the filing and offer dates of seasoned equity offerings by Equity REITs over the period 1991 to 1995. Based on a much larger sample, our finding of a significantly negative reaction to filing announcements corroborates the evidence in Howe and Shilling (1988). Our analyses indicate that the valuation effect is impacted more by the information content of the filing than any tax-based explanations. We find a significantly negative valuation effect on the offer day as well. The effect persists even after adjustment of returns by the bid-ask bounce induced by excessive selling of shares in the secondary market by institutional investors to take advantage of offer price discounts. While we attribute the result partly to order flow imbalance around the offer day, this finding is inconsistent with extant literature merits and further investigation.     

增发新股中的利益博弈和新股定价

本文将股票价格看作内在价值和一个美式看涨期权,对增发过程和IPO的区别之处--即时利益输送和股票价值两方面综合考虑,确定新老股东增发博弈中的支付函数,根据发行成功的纳什均衡条件得到增发定价合理值或合理区间,并利用该结果对69家增发公司实例进行分析,得出我国增发定价普遍高估,而现有的竞价机制具有一定的矫正功能的结论.     

Announcement and Publication Decisions and the Use of Prediction Errors in Cross-Sectional Analysis: Evidence on Seasoned Equity Issues

An important concern for empirical analysis of market responses to public releases of information is whether the voluntary nature of announcement and publication decisions imparts a selectivity bias and, if so, how this bias affects empirical results. Using a database of SEC filings of equity issues, all related Wall Street Journal published announcements are identified. The published announcements are used to classify proposed issues into subsamples with homogeneous information structures. Announcement and WSJ publication decisions are found to be non-random but, for industrial firms, not significantly related to firm size or exchange listing. Coefficients estimated without controlling for selectivity are found not to be significantly biased for either industrial or utility issues. However, for industrial issues, significance levels are considerably lower when selectivity bias is controlled. The hypothesis common to other studies of new issue announcement effects that observations from different information structures can be pooled, with coefficient estimates restricted to be equal across information structures, is rejected. The results have implications for the methods used to study cross-sectional market responses     

Seasoned Equity Issuance by Japan and Singapore REITs

This paper examines the effects of market conditions and asset acquisitions on announcement returns and the probability of equity offerings by REITs in Japan and Singapore. The Asian experience is interesting given the prevalence of yield accretive strategies, but more so, we establish that past acquisitions have a significant effect on the probability of equity offering, over and beyond the effect of debt and market conditions. A contemporaneous acquisition announcement mitigates the negative price effect of the SEO announcement. We also find that equity clustering affects market reaction and SEO issuance.     

Executive Stock Option Exercise and Seasoned Equity Offerings

We examine executive stock option exercises around a sample of 1,268 seasoned equity offerings (SEOs) from 1996 to 2004 focusing on a subset of exercises we identify as potentially informed. Consistent with the theory that firms issue equity when stock is overvalued, we document a surge in informed exercise in the months surrounding the SEO. From six months prior to the announcement date to six months after issuance, an average 1.76% of the total market capitalization for issuing firms is exercised and sold. Interestingly, we find a positive association between informed option exercises and long-run performance. Overall, our collective evidence indicates that insiders are not particularly good at timing exercises around SEOs.     

上市公司超能力派现与公司治理结构的实证研究

本文选取2003～2005年沪市和深市的1748家上市公司为样本,研究我国上市公司超能力派现与公司治理结构之间的关系.研究发现,第三大股东持股比例与超能力派现正相关,监事会规模、资产负债率和净资产收益率与超能力派现负相关.第一大股东持股比例与超能力正相关没有通过显著性检验,反映我国前几大股东可能合谋实现超能力派现.我国迫切需要优化公司治理结构争完善法制来制止超能力派现的发生.     

公开增发公司分类转移与核心盈余异象研究

本文研究中国上市公司增发前分类转移与由此产生的核心盈余异象。研究发现,针对增发公司业绩门槛法规变化,公司公开增发前分类转移增强,可操控应计盈余管理减弱,核心盈余持续性下降,核心盈余异象增强。研究表明,公开增发业绩门槛变化使公司偏好以分类转移方式虚增核心盈余,从而改变核心盈余结构,引起核心盈余持续性下降,进一步造成投资者高估公司未来价值,导致核心盈余异象。本文不仅发展了盈余管理与盈余异象研究,还充实了不同盈余管理方式成本收益权衡的研究。同时,本文丰富了分类转移动机研究,且本文结论有助于投资者对增发公司正确估值。     

Accounting information and the valuation of Seasoned Equity Offerings (SEOs)

This study investigates the association between publicly available information disclosed in the SEO prospectus and offer prices of SEOs, as well as the association between this type of publicly available information and stock returns subsequent to an SEO after controlling for self-selection bias. The empirical evidence shows that disclosure of the planned uses of the SEO proceeds reveals value-relevant information which has been incorporated by the underwriters in setting the offer prices. Control for self-selection bias appears necessary to obtain unbiased estimates in the regression model explaining the determinants of offer price in SEOs.