Cross‐Country Variability in Cost of Raising Equity: Evidence from Seasoned Equity Offerings

We examine how county‐level governance affects the cost of raising equity. Using data on seasoned equity offerings, we find that the underwriting spread is determined by the litigation risk of issue certifiers, and offer underpricing is largely determined by the investment risk of the equity issue. Underwriting spread increases with enhanced legal enforcement, offsetting the reduction in underpricing associated with strong legal enforcement. Our study offers insight into the effect of legal enforcement and regulatory policy on the cost of raising equity.     

Selection Bias and the Underwriter Certification of the Largest Shareholders in Seasoned Equity Offerings

The largest shareholders of issuing firms in Hong Kong are eligible to underwrite rights issues and open offers. We hypothesize that the largest shareholders as underwriters who possess more information are better than investment banks in certifying firm value. Our analyses show that the largest shareholders self‐select into their preferred issuing firms, and a selection bias in the choice of underwriters arises. After controlling for firm and issue characteristics and addressing the selection bias, our findings support our hypothesis. We also find that investment banks with greater access to information through prior underwriting relationship provide better certification than investment banks without such relationship.     

Wealth Effects of Seasoned Equity Offerings: A Meta‐Analysis

We use meta‐analysis to review studies on announcement effects associated with seasoned equity offerings. Our sample includes 199 studies from 38 leading finance journals and Social Sciences Research Network working papers. The studies cover different countries, but the US is particularly well‐represented with 131 studies. We find a statistically significant mean cumulative abnormal return of −0.98%. Abnormal returns are more negative for equity issues by US companies and for non‐US rights issues and are less negative for private placements. In addition, wealth effects are more negative when the proceeds are used for debt reduction, when the SEO is issued shortly after IPO, and for issues by nondividend‐paying companies and industrial companies. We identify important avenues for future research.     

Ethics and Disclosure: A Study of the Financial Performance of Firms in the Seasoned Equity Offerings Market

In this article, we examine the association between ethics and disclosure and the impact of this association on the long-term, post-issue performance of seasoned equity offerings (SEOs). We argue that firms with extensive disclosure are less likely to face information problems, and more likely to lead to an active shareholder monitoring, and therefore, engage in fewer unethical activities, such as aggressive earnings manipulation, and have better long-term, post-issue performance. Consistent with these predictions, this study presents evidence that disclosure is negatively related to unethical earnings manipulation and positively associated with long-term, post-issue performance. In particular, we find that long-term, post-issue SEO underperformance is significantly less for firms with extensive disclosure and conservative earnings management than firms with less disclosure and aggressive earnings management. We interpret this evidence to mean that over the long run, the capital market values ethical financial reporting and corporate efforts to incorporate social responsibility into their decision-making processes, for example, by enhancing information transparency through voluntary disclosure.      

EMU and Trade Revisited: Long‐Run Evidence Using Gravity Equations

In this paper, we present evidence of the long‐run effect of the euro on trade for the twelve initial EMU countries for the period 1967–2008 from a double perspective. First, we pool all the bilateral combinations of trade flows among the EMU countries in a panel cointegration gravity specification. Second, we estimate a gravity equation for each of the EMU members vis‐à‐vis the other eleven partners. We apply panel cointegration techniques based on factor models that account for cross‐dependence and structural breaks. Whereas the joint gravity equation provides evidence on the aggregate effect of the euro on intra‐European trade, by isolating the individual countries, we assess which of the member countries have obtained a larger benefit from the euro. The results show that the euro has had a positive though small effect on trade. Belgium and Luxembourg, France and Italy are the countries more benefited from the introduction of the euro. The effects for exports to third countries are in general more moderate, and, with the exception of Greece, there is no evidence of diversion effects.     

Corporate Governance,Dividend Status,Ownership Structure,and the Performance of Greek Seasoned Equity Offerings

We examine the short-term and long-term share-price behaviour surrounding the announcement of seasoned equity offerings (SEOs) by firms listed on the Athens Stock Exchange. (ASE) The idiosyncrasies of the ASE make for an interesting investigation of SEO announcements in relation to the effect of corporate governance mechanisms, ownership structure, and dividend-paying status. We examine changes in leverage and systematic risk, as well as the long-term share price and operating performance of those firms involved in a SEO. We report significant share-price appreciations on SEO announcement day. We find a share-price rally before the announcement of SEOs and subsequent share-price reversals. Our results suggest that corporate governance structures, dividend status, and ownership concentration enhance the information content of SEOs. Finally, we report evidence that the long-term operating performance and the capital structure of firms announcing a SEO deteriorates for up to two years following the announcement.     

定向增发:低价发行的偏好分析

本文以2006、2007年两年股权定向增发的上市公司为研究样本,研究上市公司股权定向增发价格选择的倾向偏好及其对中小股东利益的影响。研究表明:上市公司定向增发并不是以再融资为目的,股权定向增发普遍具有低价发行的偏好;通过股权的低价发行,帮助大股东获得了更多的控制权利益,在企业集团整体上市中尤为明显。因此,市场监管者应当进一步细化定向增发定价的管理,促进我国资本市场的健康稳定发展。     

The Interaction of Post‐Acquisition Integration and Acquisition Focus in Relation to Long‐Run Performance

We examine the joint influence of post‐acquisition integration management and acquisition focus on long‐run post‐acquisition performance. We develop a financial measure related to integration that is based on changes in net purchases/disposals of physical assets. For a sample of acquisitions by Australian listed firms, we find that the main effects and the interaction of our integration measure and focus are related to performance in the direction suggested by theory. Our results suggest that inconsistencies in previous studies of the focus‐performance relation are partly explained by the failure to consider the post‐acquisition asset management strategies.     

Factor Exposures of Foreign Equity Capital in a Domestic Stock Market: Evidence from Korea

In this paper, we examine the factor exposures of foreign equity capital in a domestic stock market in order to understand its risk‐taking behavior and sources of returns in the market. Using data from Korea for the 1999–2013 period, we find that foreigners are strongly exposed to the idiosyncratic volatility (IVOL) factor, which is long on low‐IVOL stocks and short on high‐IVOL stocks. That is, foreign equity capital is typically allocated to low‐IVOL stocks and profits from the return differential between low‐IVOL and high‐IVOL stocks. We also find that foreign equity capital moves in a way that it is loaded more on the IVOL factor when the IVOL factor premium is larger. We discuss the comparative advantage of foreign equity capital in bearing the IVOL factor risk and the role of information asymmetry between locals and foreigners in this risk sharing. We also provide additional empirical results that support our interpretation.     

The Long‐run Relationship Between Trade and Population Health: Evidence from Five Decades

In recent years, the increase in international trade has sparked a debate about the impact of international trade on population health. To date, however, there has been very little econometric research on the relationship between these two variables. This paper examines the long‐run relationship between trade openness and population health for a sample of 74 countries over five decades, from 1960 to 2010. Using panel time‐series techniques, it is shown that international trade in general has a robust positive long‐run effect on health, as measured by life expectancy and infant mortality. This effect tends to be greater in countries with lower development levels, higher taxes on income, profits, and capital gains, and less restrictive business and labour market regulations.     

Wealth‐to‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test

We use a nonparametric causality‐in‐quantile test to analyze the predictive ability of the wealth‐to‐income ratio (wy) for excess stock returns and their volatility. Our results reveal that the wy is nonlinearly related with excess stock returns, and hence, results from linear Granger causality tests cannot be deemed robust. When we apply the nonparametric causality‐in‐quantile test, we find that the wy can predict excess stock returns over the majority of the conditional distribution, with the exception being the extreme ends, that is, when the market is in deep bear or bull phases. However, the wy has no predictability for the volatility of excess stock returns.     

Seasoned equity offerings,operating performance and overconfidence: Evidence from the UK

Prior research on seasoned equity offerings in UK shows that equity issuers report a significant long-term underperformance in the period following the event. However, the factors contributing to such underperformance are not yet fully explored. Using a sample of rights issues for the period 1988–1998, this study suggest that the long-term underperformance is significantly related to a deterioration of companies’ operating fundamentals in the post-offering period. Further comparison between “Best” and “Worst” post-issue performers reveals that long-term underperformance is predominantly robust in the case of fastgrowing firms with over-optimistic management. This evidence is consistent with the managerial overconfidence and “empire-building” hypotheses.     

High‐Frequency Positive Feedback Trading and Market Quality: Evidence from China's Stock Market

This paper managed to measure the positive feedback trading intensity and its asymmetry with high‐frequency transaction data of China's individual stocks. The intraday positive feedback trading is found to be heterogeneous, and buying‐winners effect is significantly stronger than selling‐losers effect. In general, the high‐frequency asymmetric positive feedback trading's impact on market quality is mixed: The intraday positive feedback trades contribute to a liquid and active‐trading market but at the same time slow down the price discovery process and reduce the price efficiency.     

The Co‐Movement of Credit Default Swap Spreads,Equity Returns and Volatility: Evidence from Asia‐Pacific Markets

We provide a comprehensive analysis of the co‐movement of credit default swap (CDS), equity, and volatility markets in four Asia‐Pacific countries at firm and index level during the period 2007–2010. First, we examine lead–lag relationships between CDS spread changes, equity returns, and changes in volatility using a vector autoregressive model. At the firm level equity returns lead changes in CDS spreads and realized volatility. However, at the index level the intertemporal linkages between the three markets are less clear‐cut. Second, we apply the measures proposed by Diebold and Yilmaz (2014) to an analysis of volatility spillovers among the CDS, equities, and volatility asset classes. The results suggest that realized volatility (at firm level) and implied volatility (at index level) are the main transmitters of cross‐market volatility spillovers. Third, we analyze the impact of various structural factors and confirm the importance of realized volatility of equity returns as a determinant of CDS spreads.     

金融衍生品的定价能力研究:以中国市场权证为例

文章应用线性多因子模型研究了我国权证的定价能力,发现权证是非冗余的,故对风险资产的收益率有解释能力,且对小公司和价值股的解释能力强于大公司和成长股.文章还利用随机贴现因子的思想,用GMM方法做了稳健性检验.两种方法从不同角度得到同样的结论,权证价格中包含定价因素,金融衍生品的发展能提高市场定价效率,使市场趋于完全.     

异质信念与股票收益——基于我国股票市场的实证研究

本文以经调整后的换手率和收益波动率作为投资者异质信念的代理指标,采用1997—2007年间的样本数据,分别运用资产组合分析法和截面收益回归法,直接验证在我国股票市场上投资者异质信念对股票收益的影响。本文的研究发现支持了基于异质信念假设的资产定价理论:在卖空限制约束下,异质信念导致当期股价高估,与股票未来收益负相关。文章的结论经FF四因素模型调整后依然成立。本文还发现,与美国股票市场相比,我国股票市场高估程度更严重,持续时间更长。因此,引入卖空机制可以在一定程度上解决我国股票市场高估问题。     

股票流动性、公司治理与企业经营绩效——基于退出威胁与锁定效应的理论与实证研究

文章采用博弈论的分析框架探讨了股票流动性的两大效应,即"退出威胁"与"锁定效应".研究表明,当股票流动性较低时,机构投资者的退出策略不可行,被迫参与上市公司的监督行为,即表现为"锁定效应",且股票流动性越低,这一效应越明显.然而,随着股票流动性的进一步增强,机构投资者的退出策略开始变得可信,从而可以通过一定的触发策略迫使管理者选择尽职,因而表现为"退出威胁",且股票流动性越高,这一效应越明显.因此,总的说来,股票流动性与经营绩效之间会呈现一个先减后增的U型关系.文章采用高频交易数据构造相对有效价差与相对报价价差衡量股票流动性对上述假说进行了检验,其实证结论支持了文中的假说.