上市公司股权再融资盈余管理行为的实证分析

本文运用横截面修正的Jones模型,对我国1997—2002年A股上市公司配股盈余管理行为作了实证分析。研究发现,配股前3个年度和配股当年存在系统的盈余管理行为,影响了上市公司资本配置效率,并导致配股后上市公司业绩出现下降。会计师对于盈余管理进行了必要的关注,说明融资后的审计意见报告具有一定的质量。     

Trading and Manipulation Around Seasoned Equity Offerings

We investigate the potential for manipulation due to the interaction between secondary market trading prior to a seasoned equity offering (SO) and the pricing of the offering. Informed traders acting strategically may attempt to manipulate offering prices by selling shares prior to the SO, and profit subsequently from lower prices in the offering. The model predicts increased selling prior to a SO, leading to increases in the market maker's inventory and temporary price decreases. Further, since manipulation conceals information, the ratio of temporary to permanent components of the price movements is predicted to increase.     

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.     

The Pricing of French Unit Seasoned Equity Offerings

Units are bundles of common stock and warrants. By issuing units, firms precommit to a future and uncertain seasoned offering at the exercise price of the warrants. This study shows that the issuance of units seasoned offerings in France is accompanied by significant abnormal returns of on average 9–12%, depending on the computing methods. Underpricing increases with the risk of the issuer and the relative size of the future seasoned equity issue linked to warrant exercises. Our results are consistent with our signaling hypothesis.     

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.     

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.     

Institutional Shareholder Investment Horizons and Seasoned Equity Offerings

Firms with more short‐term institutional shareholders experience significantly more negative abnormal returns at the announcement of seasoned equity offerings. This effect is strong for primary offerings (only firms receive proceeds), but is not present for secondary offerings (firms do not receive any proceeds). Furthermore, a shorter institutional shareholder investment horizon predicts poorer postissue abnormal operating performance and the negative effect of a shorter shareholder horizon is mitigated by higher managerial ownership. My results are consistent with the argument that long‐term shareholders more carefully monitor managerial activities and prevent misuse of the cash flow provided by equity issues.     

The Operating Performance of Firms Conducting Seasoned Equity Offerings

Recent studies have documented that firms conducting seasoned equity offerings have inordinately low stock returns during the five years after the offering, following a sharp run-up in the year prior to the offering. This article documents that the operating performance of issuing firms shows substantial improvement prior to the offering, but then deteriorates. The multiples at the time of the offering, however, do not reflect an expectation of deteriorating performance. Issuing firms are disproportionately high-growth firms, but issuers have much lower subsequent stock returns than nonissuers with the same growth rate.     

Liquidity Changes around Seasoned Equity Issuance: Public Offerings versus Private Placements

I investigate whether firms that issue equity, in public offerings or private placements, have improved on liquidity in the secondary market. Transaction costs, price impacts, and trading activity are examined. Results show that public offering stocks become considerably more liquid in all three dimensions. For private placement stocks, there is some evidence that trading volume increases, but effective spread and temporary price impact decline less than market‐wide changes. Furthermore, I study the behaviors of participants in the newly issued equity market. Analyses indicate that underwriters, analysts, and market makers all contribute to liquidity changes, but in different aspects.     

Why Do IPO Firms Conduct Primary Seasoned Equity Offerings?

This study examines the reason behind the IPO firm's decision to conduct a primary seasoned equity offering (SEO). First, we develop a two–period model of blockholder incentives starting from the IPO stage. The model suggests that the blockholder has an incentive to conduct an SEO after the IPO when the firm is experiencing growth that was not anticipated at the IPO stage. Using a sample of IPO firms during 1992 to 1997, we find that IPO firms with higher unanticipated positive growth are more likely to conduct an SEO during the four years after their IPOs. We find that the firm's unanticipated shock and growth positively affect the relative size of the firm's seasoned equity offering. We also find that the firm's risk measure reduces the probability of conducting an SEO and reduces the relative size of an SEO.     

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。     

The Puzzling Increase in the Underpricing of Seasoned Equity Offerings

Using a sample of over 3,000 seasoned equity offerings (SEOs) from 1983 to 1998, we test the hypothesis that the U.S. Securities and Exchange Commission's Rule 10b‐21, which disallows the covering of short positions with newly issued SEOs, makes pre‐offer stock prices less informative, which, in turn, causes the new seasoned equity to be priced at a discount. Consistent with the hypothesis, we find that the year the rule went into effect coincides with the year from which we begin observing significant SEO discounts. Further, we find that ex ante uncertainty and SEO discounts are positively related. We also conduct tests specifically related to short selling, and we also consider an exhaustive set of alternative explanations for the discounts. Based on all of the evidence, we conclude that it is the rule that makes issue discounts larger in the 1990s.     

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.     

Seasoned Equity Offerings: Stock Market Liquidity and the Rights Offer Paradox

This paper examines the impact of market liquidity on seasoned equity offerings (SEO) characteristics in France. We find that, besides blockholders’ takeup, liquidity is an important determinant of SEO flotation method choice. We document higher direct equity offering flotation costs, but also improved stock market liquidity after public offerings and standby rights relative to uninsured rights. After controlling for endogeneity in the choice of SEO flotation method, we find that pure public offerings and standby rights are comparable in terms of direct costs and liquidity improvement. Our results provide new insights as to why firms choose public offerings despite apparently higher costs.     

Government Stakes as an Insurance Policy: Evidence from Seasoned Equity Offerings of Chinese Firms

While privatization has attracted much more attention in the literature, one type of reverse privatization, a privately-controlled firm inviting government ownership as its minority shareholders, is neglected in the literature. Using large-scale census firm data from China, we investigate the determinants of this kind of reverse privatization and its impact on firm performance. We find that (1) the decision of reverse privatization by Chinese private firms is affected by local political risk, firm-level financial characteristics, and industry-level characteristics, (2) the reverse privatization significantly affects the firm’s performance, which is measured in different proxies but the effects are not consistent, and (3) moreover, we find that the benefit of reverse privatization decreases as government ownership increases. Our results suggest that the prevalence of reverse privatization in China is a political outcome, which is affected by the trade-off of political risk and political privilege. Our work suggests that political risk and political considerations are the main driving factors of privatization, or its opposite, reverse privatization. Reverse privatization, to some extent, is a rational choice in some transition economies. Our findings offer clear policy implications to the nationalization phenomenon taking place around the world recently.     

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.     

On The Operating Performance of REITs Following Seasoned Equity Offerings: Anomaly Revisited

We examine the operating performance of equity REITs following seasoned equity offerings from 1990–2007. This study uses a variety of measures of operating cash flow and documents improvements in industry-adjusted operating performance prior to issue and a statistically significant decline in these measures after issuance. The deterioration in operating performance of REITs is similar in magnitude to that found for industrial firms in prior studies. We find evidence of mean reversion in operating performance and timing by issuing firms, and that information asymmetry plays an important role in the results. Notably, in using a longer sample period and a variety of cash flow measures and benchmarks, this study finds evidence that is in contrast to results found in an earlier analysis of REIT operating performance.     

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.     

Information Content of Offer Date Revelations: A Fresh Look at Seasoned Equity Offerings

Besides the offer price discount, investment bankers use revisions in offer size from the amount originally filed to signal the issuer's quality to their buy‐side clients. Unlike the offer price discount, offer size revision not only relates to the offer date price reaction, it also predicts post‐SEO (seasoned equity offering) performance. Improved SEOs, whose offer size exceeds the amount originally registered, experience significantly positive returns during the registration period and on the offer date. More importantly, they do not underperform post‐issuance. Their complement, regular SEOs, exhibit significantly negative returns during the registration period, on the offer date, and underperform their benchmark following issuance.     

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.