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Seasoned equity offerings and market volatilityEom, Chanyoung 06 1900 (has links)
x, 51 p. : ill. / New equity shares are sold for raising capital via a primary seasoned equity offering (SEO). In their 2010 article, Murray Carlson, Adlai Fisher, and Ron Giammarino discovered an intriguing relationship between market volatility and primary SEOs, namely that the volatility decreases before a primary SEO and increases thereafter. This pattern contradicts the real options theory of equity issuance for investment. In this study, I examine in greater detail whether the pre- and post-issue volatility dynamics are related to the probability of issuing new equity. I find little evidence that the decision to conduct a primary SEO depends on changes in market volatility after controlling for previously recognized determinants of SEOs. This reconciles the volatility finding of Carlson et al. with the real options theory of equity issuance for investment. I also examine secondary SEOs, in which only existing equity shares are sold and therefore no capital is raised by the firm. For secondary SEOs, real options theory makes no predictions about risk changes around the events. I find that market volatility tends to decline before a secondary SEO, a finding which warrants further attention. / Committee in charge: Dr. Roberto Gutierrez, Chair;
Dr. Ekkehart Boehmer, Member;
Dr. Wayne Mikkelson, Member;
Dr. Jeremy Piger, Outside Member
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A influência do marketing timing e do estágio do ciclo de vida na realização de ofertas públicas de ações.Costa, Vilma Sousa Ismael da 25 January 2013 (has links)
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Previous issue date: 2013-01-25 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / This study aimed to analyze whether the market timing and stage of life cycle influence the decision to perform a Public Seasoned Equity Offerings (SEO) in Brazilian companies traded. The analysis focused on whether the probability of a company conduct a SEO is positively
related to the index MB (market-to-book), size and stock returns and profitability prior to completion of SEO, and negatively related to the stage lifecycle, profitability and stock return after completion of SEO. Initially we sought to examine the influence of the index market-tobook
and returns and future steps in conducting a SEO. dditionally, we sought to examine the influence of firm age and number of years listed in BMFBOVESPA in making an SEO.
And, in parallel, we attempted to verify the relationship between SEO and realization of the variables size and profitability. The population consisted of all n-financial companies, publicly traded, with shares traded on the Bolsa de Valores de São Paulo - BM & FBOVESPA, in the period from 2002 to 2010. The model follows the methodology used by
H. Deangelo, L. Deangelo and Stulz (2010). Analyzing whether there is a relationship between the logistics company conduct a SEO and variable rate market-to-book, stage of life cycle, past returns and future profitability and size. About the variables we can conclude that
there is a relationship between the attainment of SEO content and market-to-book, firm size and profitability after the completion of SEO. The relationships of the variables expected market-to-book and size, were confirmed as positive, however the variable profitability after
completion of SEO obtained a negative relationship, thus diverging from the expected. Therefore, hypotheses 1 and 5 of the thesis, that the probability of performing SEO is
positively related to the index market-to-book and size, can not be rejected. Descriptive statistics already pointed in this direction, about 81% of the operations were performed by SEO companies that presented index market-to-book more than 1, which indicates some sort of recovery, and the largest proportion, about 55% of the achievements were made by companies that were with index greater than 2.10 MB. Regarding the size, descriptive statistics already presented a preliminary support when showed that most of the offers, about 51% were held by companies that met the range of values of total assets (14 <log assets <16).
Furthermore, there were no evidences that confirm the relationship of the stage of the life cycle, the stock return both the previous and subsequent to the achievement of SEO, and the operational performance before and the day of the year with the decision of SEO conduct a public seasoned equity offerings. Although the stage of the life cycle has not been found statistically significant evidence that shows that the vast majority of SEO s, about 57% were
held by companies with up to 20 of the constitution, these data are confirmed when we used years BM & FBOVESPA's listing as a proxy for alternative stage of the life cycle, about 79% of SEO s were made by companies that have up to 15 years of listing. Regarding the stock performance of the ANOVA tests indicated an average return of shares a year before the superior achievement in comparison with stock returns one year after the completion of the SEO and the average stock returns in the subsequent year, the SEO companies that made and the companies that did not perform, are equal. The results point toward in favor of market
timing theory as an explanation for the conduct of bids, i.e., companies realized the SEO when its shares were valued by the market, taking advantage of the time factor. / Esta dissertação teve como objetivo analisar se o market timing e o estágio do ciclo de vida influenciam na decisão de realizar uma Oferta Pública de Distribuição de Ações Subsequentes
(SEO) em empresas brasileiras de capital aberto. A análise se centrou em saber se a probabilidade de uma empresa realizar uma SEO está positivamente relacionada com o índice
MB (market-to-book), tamanho e ao retorno acionário anterior à realização da SEO e negativamente relacionado ao estágio do ciclo de vida e ao retorno acionário posterior a realização da SEO. Inicialmente, buscou-se analisar a influência do índice market-to-book e dos retornos acionários passados e futuros na realização de uma SEO. Adicionalmente, procurou-se analisar a influência da idade da empresa e do número de anos listados na
BM&FBOVESPA na realização de uma SEO e, paralelamente, verificar a relação entre a realização da SEO e a variável tamanho. A população foi composta por todas as empresas
não-financeiras, de capital aberto, com ações negociadas na Bolsa de Valores de São Paulo BM&FBOVESPA, no período de 2002 a 2010. O modelo seguiu a metodologia utilizada por
Deangelo, Deangelo e Stulz (2010), analisando se há uma relação logística entre a empresa realizar uma SEO e as variáveis índice market-to-book, estágio do ciclo de vida, retornos passados e futuros e tamanho. Quanto às variáveis, conclui-se que existe relação entre a realização da SEO, o índice market-to-book e o tamanho das empresas. As relações das varáveis market-to-book e tamanho foram positivas, como esperado. Diante disso, as hipóteses 1 e 5 da dissertação, de que a probabilidade de realização de SEO é positivamente
relacionada ao índice market-to-book e tamanho, não podem ser rejeitadas. A estatística descritiva apontou que cerca de 81% das operações de SEO foram realizadas por empresas que apresentavam índice market-to-book superior a 1, o que indica algum tipo de valorização e a maior proporção. Cerca de 55% das realizações foram feitas por empresas que se encontravam com índice MB maior que 2,10. No tocante ao tamanho, a estatística descritiva também apresentou um suporte preliminar, quando evidenciou que cerca de 51% das ofertas, foram realizadas por empresas que se encontraram na faixa de valores do ativo total (14< log do ativo < 16). Por outro lado, não foram observadas evidências que confirmem a relação do estágio do ciclo de vida e retorno acionário, tanto no ano anterior quanto no ano subsequente à realização da SEO com a decisão de realizar uma oferta pública de distribuição de ações subsequente. Muito embora o estágio do ciclo de vida não tenha tido significância estatística, foram encontradas evidências, apontando que a grande maioria das SEO s, cerca de 57%,
foram realizadas por empresas que possuem até 20 de constituição. Esses dados são corroborados, quando utilizou-se anos de listagem da BM&FBOVESPA como proxy alternativa para estágio do ciclo de vida. No tocante ao retorno acionário, observou-se uma média do retorno das ações de um ano antes da realização superior em comparação com os retornos das ações um ano após a realização da SEO e que as médias do retorno das ações no ano posterior das empresas que realizaram SEO e das empresas que não realizaram eram iguais. Em relação ao desempenho operacional, encontraram-se evidências de diferenças entre o ROA antes e após a realização da SEO e igualdade entre o ROA posterior de empresas emissoras e não-emissoras. Os resultados obtidos apontam na direção a favor da teoria do market timing como explicação para a realização de ofertas, ou seja, as empresas realizaram a
SEO quando suas ações estavam valorizadas pelo mercado.
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Order Imbalance and Abcdrmal Return around Seasoned Equity Offerings in TSE-Listed Firms曾瑜萍, YU-PING TSENG Unknown Date (has links)
Traditionally, volume has provided the link between trading activity and returns. This study attempts to not only investigate the trading behavior of all aspects of investors by daily order imbalances, the better index than dollar volume, around firm-specific news releases, but also explore the relation between order imbalances and daily returns. This study contributes to the shot-run market reactions and trading behaviours from different three or five kinds of investors around seasoned equity offerings announcement in Taiwan. We have examined 306 SEOs listed on Taiwan stock exchanges from 1995 to 1998, and test five subsequent SEO-related signaling dates, such as the shareholders’ conventions date, the formal announcement date, the ex-right date and the listed date. Our findings indicated the anomalies on returns and order imbalance did exist with the publication of SEO news in Taiwan. The negative information effect is significant on the shareholders’ convention date. Further we find a strong relation between order imbalance from individuals and daily return in the five day window. We infer that individual investors are extreme sensitivity to any news released and that the majority of traders in TSE are comprised by individual can explain the phenomenon. Finally, we also find not only correlation among different type of traders but also that returns, cash per share and the interest rate influence trading decision deeply. / Traditionally, volume has provided the link between trading activity and returns. This study attempts to not only investigate the trading behavior of all aspects of investors by daily order imbalances, the better index than dollar volume, around firm-specific news releases, but also explore the relation between order imbalances and daily returns. This study contributes to the shot-run market reactions and trading behaviours from different three or five kinds of investors around seasoned equity offerings announcement in Taiwan. We have examined 306 SEOs listed on Taiwan stock exchanges from 1995 to 1998, and test five subsequent SEO-related signaling dates, such as the shareholders’ conventions date, the formal announcement date, the ex-right date and the listed date. Our findings indicated the anomalies on returns and order imbalance did exist with the publication of SEO news in Taiwan. The negative information effect is significant on the shareholders’ convention date. Further we find a strong relation between order imbalance from individuals and daily return in the five day window. We infer that individual investors are extreme sensitivity to any news released and that the majority of traders in TSE are comprised by individual can explain the phenomenon. Finally, we also find not only correlation among different type of traders but also that returns, cash per share and the interest rate influence trading decision deeply.
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Two Essays on Lottery-type StocksMeng, Yun 13 June 2016 (has links)
In the first essay titled “Monthly Cyclicality in Retail Investors’ Liquidity and Lottery-type Stocks at the Turn of the Month”, we find that the well-documented underperformance of lottery stocks masks a within-month cyclical pattern. Demand for lottery stocks increases at the turn of the month especially in areas whose demographic profile resembles that of the typical lottery-ticket buyers (i.e., gamblers) driving their prices higher at the turn of the month. This effect is particularly pronounced among firms located in areas whose demographic profile resembles that of the typical lottery-ticket buyer and propelled by the within-month cyclicality of local investors’ personal liquidity positions. A long-short investment strategy based on this cyclical pattern of lottery stocks performance yields gross abnormal returns of about 15% per year.
In the second essay titled “Lottery-type Stocks and Corporate Strategies at the Turn of the Month”, we test whether cyclical demand for lottery stocks by retail investors, that tends to peak at the turn-of-the-month (ToM), affects firms’ financial activities. Consistent with the notion that the peak in demand is driven by a propensity to gamble and is associated with inattention, we find underreaction to earnings news issued at the ToM by lottery-type firms located in areas with many gambling investors. We also find that the ToM also provides a window of opportunity for SEO issuing lottery-type firms. Such issuing firms may strategically choose to issue lottery-type stocks at the ToM to save the direct marketing costs because it flattens the elasticity of pre-offer demand curve.
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Three Essays in Financial Economics:Wang, Yu January 2020 (has links)
Thesis advisor: Rui Albuquerque / Thesis advisor: Thomas J. Chemmanur / In my first essay, I develop a model of investor behavior around prescheduled macroeconomic announcements to analyze the optimal allocation of investor attention between systematic and idiosyncratic risk factors when a macroeconomic announcement is anticipated. Skilled investors, when producing information under a limited attention capacity, optimally allocate more of their attention to analyzing the idiosyncratic risk factor when they anticipate more precise public information about the systematic risk factor from the macroeconomic announcement. Consequently, my model predicts that, the more informative (precise) the macroeconomic announcement is expected to be about the underlying risk factors, ceteris paribus, the more uncertainty pre-announcement, the more resolution of uncertainty post-announcement, and the higher the trading volume around the announcement on the market index. My empirical analysis of trading by investors around both FOMC and CPI announcements support my model's predictions. In particular, my empirical findings are consistent with model predictions about the effect of the anticipated macroeconomic announcement precision on investor attention allocation, the effect of investor attention on the levels of pre-announcement and post-announcement trading volumes, and the effect of investor attention on the ratio of post-announcement trading volume over the pre-announcement trading volume. In my second essay, we analyze, theoretically and empirically, how investor attention affects the stock market reaction to innovation announcements. In a dynamic model with limited investor attention, we show that the immediate reaction to innovation announcements increases, while the post-announcement stock return drift decreases, in investor attention. We empirically confirm our model predictions using a matched sample of pharmaceutical industry patent grant and subsequent FDA drug approval announcements and also a general USPTO patent sample. We show that post-announcement drift has predictive power for firm growth, profitability, and productivity, drawing implications for enhancing measures of patents' economic value and for trading strategy. In my third essay, we analyze, theoretically and empirically, the implications of a fraction of investors in the equity market paying only delayed attention to SEO announcements. We first show theoretically that, in the above setting, the announcement effect of an SEO will be positively related to the fraction of investors paying attention to the announcement and that there will be a post-announcement stock-return drift that is negatively related to investor attention. In the second part of the paper, we test the above predictions using the media coverage of firms announcing SEOs as a proxy for investor attention, and find evidence consistent with the above predictions. In the third part of the paper, we develop and test various hypotheses relating investor attention paid to the issuing firm (between the announcement and the equity issue) to various SEO characteristics. We empirically show that SEO underpricing, institutional investor participation in SEOs, and the post-SEO equity market valuation of firms are all positively related to investor attention. The results of our identification tests show that the above results are causal. / Thesis (PhD) — Boston College, 2020. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.
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Three Essays in Fintech and Corporate Finance:Zheng, Xiang January 2021 (has links)
Thesis advisor: Thomas Chemmanur / My Ph.D. dissertation consists of three essays. The first essay studies the economic consequence of the current patent screening process on firm performance using a machine-learning approach. Using USPTO patent application data, I apply a machine-learning algorithm to analyze how the current patent examination process in the U.S. can be improved in terms of granting higher quality patents. I make use of the quasi-random assignment of patent applications to examiners to show that screening decisions aided by a machine learning algorithm lead to a 15.5% gain in patent generality. To analyze the economic consequences of current patent screening on both public and private firms, I construct an ex-ante measure of past false acceptance rate for each examiner by exploiting the disagreement in patent screening decisions between the algorithm and current patent examiner. I first show that patents granted by examiners with higher false acceptance rates have lower announcement returns around patent grant news. Moreover, these patents are more likely to expire early. Next, I find that public firms whose patents are granted by such examiners are more likely to get sued in patent litigation cases. Consequently, these firms cut R&D investments and have worse operating performance. Lastly, I find that private firms whose patents are granted by such examiners are less likely to exit successfully by an IPO or an M&A. Overall, this study suggests that the social and economic cost of an inefficient patent screening system is large and can be mitigated with the help of a machine learning algorithm. The second essay studies how investor attention affects various aspects of SEOs. Models of seasoned equity offerings (SEOs) such as Myers and Majluf (1984) assume that all investors in the economy pay immediate attention to SEO announcements and the pricing of SEOs. In this paper, we analyze, theoretically and empirically, the implications of only a fraction of investors in the equity market paying immediate attention to SEO announcements. We first show theoretically that, in the above setting, the announcement effect of an SEO will be positively related to the fraction of investors paying attention to the announcement and that there will be a post-announcement stock-return drift that is negatively related to investor attention. In the second part of the paper, we test the above predictions using the media coverage of firms announcing SEOs as our main proxy for investor attention, and find evidence consistent with the above predictions. In the third part of the paper, we develop and test various hypotheses relating investor attention paid to an issuing firm to various SEO characteristics. We empirically show that institutional investor participation in SEOs, the post-SEO equity market valuation of firms, SEO underpricing, and SEO valuation are all positively related to investor attention. Lastly, we also use the number of SEC EDGAR file downloads as an alternative proxy for investor attention, and our findings are robust to this alternative investor attention measure. The results of our identification tests show that the above results are causal. The third essay studies how the location of a lead underwriter in its network of investment banks affects various aspects of seasoned equity offerings (SEOs). We hypothesize that investment banking networks perform an important economic role in the SEO underwriting process for SEOs, namely, that of information dissemination, where the lead underwriter uses its investment banking network to disseminate information about the SEO firm to institutional investors. Consistent with the above information dissemination role, we show that firms whose SEOs are underwritten by more central lead underwriters are associated with a smaller extent of information asymmetry in the equity market. We then develop testable hypotheses based on the information dissemination role of underwriter networks for the relationship between SEO underwriter centrality and various SEO characteristics, which we test in our empirical analysis. Consistent with the above hypotheses, we find that more central lead SEO underwriters are associated with less negative SEO announcement effects; smaller SEO offer price revisions; smaller SEO discounts and underpricing; higher immediate post-SEO equity valuations for issuing firms; and greater post-SEO long-run stock returns for issuing firms. We also find that SEOs with more central lead underwriters are associated with greater institutional investor participation. Our instrumental variable (IV) analysis using the industry-average bargaining power of underwriters relative to issuers as the instrument shows that the above results are causal. Consistent with greater value creation by more central lead underwriters, we find that more central lead underwriters receive greater compensation. / Thesis (PhD) — Boston College, 2021. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.
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Three Essays in Corporate FinanceLiao, Wei-Ju January 2023 (has links)
This thesis examines three important topics in corporate finance: the relation between the dividend-paying status of a firm and its investment and operating performance following a seasoned equity offering (SEO), the market's view on one-dollar CEO salary announcements, and the value of corporate social responsibility (CSR) in the event of a data breach. First, I provide an in-depth analysis of the connection between dividend payouts and corporate investment of SEO firms. Empirical studies have documented the decline in post-issue operating performance of SEO firms, and the potential overinvestment of SEO proceeds seems to be a critical factor. Studies on dividend payouts argue that the agency cost of overinvestment could be lowered when dividends are paid to reduce free cash flows held by managers. To examine the connection, I utilize two post-issue dividend policies, paying consecutive dividends or nothing, to separate my sample of SEO firms and compare the two groups' post-issue investment and operating performance. I find that non-dividend-paying SEO firms overinvest more, leading to the deterioration of asset turnover and worse post-issue operating performance compared with dividend-paying ones. The results suggest a beneficial effect of consistent dividend payouts on post-SEO business operations. Second, I examine the market reaction to the public announcement of a $1 CEO salary decision using explicit reasons for the decision and mechanisms for dealing with the base salary to disentangle possible explanations for the reaction. It shows that the market does not favour the so-called personal sacrifice when CEOs eliminate their salary to counter a downturn or crisis. When a firm is in a predicament or has poor performance, the market sees its CEO’s decision to give up the salary as a signal that the outlook for the firm is bleak and the CEO is attempting to save their position. However, when newly hired CEOs start with a $1 salary, the market reacts positively. The results ascertain that a $1 salary is not seen purely as a vehicle for interest alignment. Third, I investigate whether public firms' CSR activities pay off when they suffer a data breach that potentially harms their reputation and hurts firm value. I use a sample of US data breaches and two sources of environmental, social, and corporate governance (ESG) ratings to investigate whether CSR engagement by public firms mitigates the negative stock market reactions to their data breach announcements. I utilize pre-breach ESG scores to separate my sample of breached firms into high and low CSR groups. Using event study methodology, I find that the market reacts significantly negatively to only the low CSR group's announcements. Consistent with previous studies on how firms benefit from CSR activities when they face adversity and lose public trust, the results suggest that social performance protects firms against information leakage incidents. However, the extent to which the market assesses the ratings from different providers is still divergent, which is a concern for practitioners. / Thesis / Doctor of Philosophy (PhD)
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Three applications of propensity score matching in microeconomics and corporate finance: US international migration; seasoned equity offerings; attrition in a randomized experimentLi, Xianghong 18 June 2004 (has links)
No description available.
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影響我國上市櫃公司選擇公開募集或私募之因素吳雅妮 Unknown Date (has links)
本研究以羅吉斯迴歸模型探討影響上市櫃公司選擇公開募集或私募之因素。 實證結果發現採私募或現金增資的決策,和下列因素有關:(1)資訊不對稱程度愈高之公司愈傾向以私募發行新股,且上櫃公司較上市公司更傾向以私募發行新股;(2) 資訊透明度越低的公司,資金成本越高,籌資也較困難,會傾向以私募方式發行新股;(3) 投資機會愈多的公司,因為控制權考量,會選擇公開募集資金;(4) 當景氣愈好,公司愈傾向以公開募集發行新股,且上市公司較上櫃公司更易傾向以現金增資方式發行新股。 / This study applies logit model to examine the determinants of choice of private placements/seasoned equity offerings. The results indicate that firms being severe in information asymmetry tend to choose private placements. Contrast to listed firms, OTC firms prefer private placements to seasoned equity offerings. Firms with lower information transparency pay higher costs in seasoned equity offerings and therefore tend to choose private placements. Firms being abundant in investment opportunities prefer to choose seasoned equity offerings because of control considerations. In bull markets, more firms choose seasoned equity offerings other than private placements while listed firms have stronger tendency to choose seasoned equity offerings than OTC firms.
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Give It To Me Straight: How, When, and Why Managers Disclose Inside Information About Seasoned Equity OfferingsJanuary 2017 (has links)
abstract: Managers’ control over the timing and content of information disclosure represents a significant strategic tool which they can use at their discretion. However, extant theoretical perspectives offer incongruent arguments and incompatible predictions about when and why managers would release inside information about their firms. More specifically, agency theory and theories within competitive dynamics provide competing hypotheses about when and why managers would disclose inside information about their firms. In this study, I highlight how voluntary disclosure theory may help to coalesce these two theoretical perspectives. Voluntary disclosure theory predicts that managers will release inside information when managers perceive that the benefits outweigh the costs of doing so. Accordingly, I posit that competitive dynamics introduce the costs associated with disclosing information (i.e., proprietary costs) and that agency theory highlights the benefits associated with disclosing information. Examining the context of seasoned equity offerings (SEOs), I identify three ways managers can use information in SEO prospectuses. I hypothesize that competitive intensity increases proprietary costs that will reduce disclosure of inside information but will increase discussing the organization positively. I then hypothesize that capital market participants (e.g., security analysts and investors) may prefer managers to provide more, clearer, and positive information about the SEO and their firms. I find support for many of my hypotheses. / Dissertation/Thesis / Doctoral Dissertation Business Administration 2017
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