Investor Sentiment Market Timing And Seasoned Equity Offering
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Investor Sentiment Market Timing And Seasoned Equity Offering
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Author : Robin K. Chou
language : en
Publisher:
Release Date : 2015
Investor Sentiment Market Timing And Seasoned Equity Offering written by Robin K. Chou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
This paper studies the impact of investor sentiment on the probability of firms conducting seasoned equity offerings (SEOs) and on stock performance around and subsequent to SEOs. We first show that investor sentiment is positively related to SEO probability, and that small, high volatility, high R&D intensity, and non-dividend-paying firms are more likely to issue SEOs. The interaction effects between investor sentiment and firms' mispricing-related characteristics further suggest that the impact of investor sentiment on SEO probability is stronger for small and young firms. Moreover, we find that firms conducting SEOs during high sentiment periods experience less severe short-run price drops around the issuances, yet more severe post-issue long-run underperformance, compared to firms conducting SEOs during low sentiment periods. The effect of investor sentiment on stock performance is stronger for small, young, and high market-to-book ratio firms.
Investor Sentiment And The Seo Pricing Process
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Author : Xiaoying Deng
language : en
Publisher:
Release Date : 2018
Investor Sentiment And The Seo Pricing Process written by Xiaoying Deng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Using real estate investment trusts as a unique laboratory, we investigate the impact of investor sentiment on seasoned equity offering (SEO) price dynamics. Evidence indicates that investor sentiment is positively related to pre-SEO overpricing and probability of issuance. SEOs issued in high sentiment periods have larger discounts and higher first day returns. We also find that high sentiment periods are followed by low long-run returns, suggesting that sentiment does not proxy for unobservable fundamentals. Overall, our findings are consistent with market timing and behavioral explanations for equity offerings.
Effects Of Investor Sentiment On Seasoned Equity Offering And Stock Return
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Author :
language : en
Publisher:
Release Date : 2018
Effects Of Investor Sentiment On Seasoned Equity Offering And Stock Return written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Private Placement And Rights Issue Cycles
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Author : Adrian Melia
language : en
Publisher:
Release Date : 2019
Private Placement And Rights Issue Cycles written by Adrian Melia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
The paucity of rights issues in the US and the effect of the imputation tax system on share issuance in Australia allow us to examine the drivers of seasoned equity offerings (SEOs) in a unique setting. This paper provides a comprehensive examination of the factors (information asymmetry, demand for capital, market timing and investor sentiment) that cause the number of seasoned equity offerings to vary over time. We find that in an imputation environment, cycles in total SEO issuance and private placements are driven by the demand for capital, whereas rights issue cycles are driven by investor sentiment. Our results suggest that as firms require capital for investment there will be an increase in SEOs driven by placements and that firms increasingly utilise rights issues when investor sentiment is high, thereby reducing the risk inherent in rights issues.
Two Essays On Investor Sentiment And Equity Offerings
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Author :
language : en
Publisher:
Release Date : 2006
Two Essays On Investor Sentiment And Equity Offerings written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Corporations categories.
Using monthly open-end mutual fund flows as a proxy for investor sentiment, I am able to examine the impact of sentiment on IPO volume and underpricing. I find that issuers' filing decisions are significantly affected by the predicted future sentiment around the expected IPO dates. Furthermore, sentiment has an impact on the final offer price setting and over-allotment options exercised. While previous research documents IPO cycles with respect to other proxies for investor sentiment, I am able to examine IPO cycles and underpricing with respect to sentiment along with investor risk preferences. I hypothesize that a going public firm will try to issue its IPO when investor risk preferences are favorable to the firm's own risk characteristics. Empirical results based on 5,661 initial public offerings between 1986 and 2004 are consistent with my hypotheses that issuers not only time the market with sentiment in general, but also attempt to incorporate investor risk preferences into their going public decisions. Furthermore, underpricing is more severe when firms issue equity during months with large inflows into equity mutual funds. In my second essay, I find that SEO firms appear to time market efficiently because of the shorter filing periods compared to the average 2-3 months of the IPOs. Also, sentiment not only affects a SEO offer price setting but also affects the over-allotment options exercised. I examine two subgroups of the SEO samples: shelf registration and non-shelf SEOs. I find that shelf-registered SEOs incorporate investor sentiment into offering price to a greater degree compared to regular SEOs. Lastly I find that investor risk preference plays a role in firms' decision to file prospectuses with the SEC. In other words, firms rationally decide the timing of filing based on the predicted investor preference and try to match firm characteristics with investor preference around the expected SEO date.
Market Liquidity As A Sentiment Indicator
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Author : Malcolm P. Baker
language : en
Publisher:
Release Date : 2009
Market Liquidity As A Sentiment Indicator written by Malcolm P. Baker and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
We build a model that helps to explain why increases in liquidity - such as lower bid-ask spreads, a lower price impact of trade, or higher turnover - predict lower subsequent returns in both firm-level and aggregate data. The model features a class of irrational investors, who underreact to the information contained in order flow, thereby boosting liquidity. In the presence of short-sales constraints, high liquidity is a symptom of the fact that the market is dominated by these irrational investors, and hence is overvalued. This theory can also explain how managers might successfully time the market for seasoned equity offerings, by simply following a rule of thumb that involves issuing when the SEO market is particularly liquid. Empirically, we find that: i) aggregate measures of equity issuance and share turnover are highly correlated; yet ii) in a multiple regression, both have incremental predictive power for future equal-weighted market returns.
Market Liquidity As A Sentiment Indicator
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Author : Malcolm Baker
language : en
Publisher:
Release Date : 2002
Market Liquidity As A Sentiment Indicator written by Malcolm Baker and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Economics categories.
We build a model that helps explain why increases in liquidity - such as lower bid-ask spreads, a lower price impact of trade, or higher share turnover - predict lower subsequent returns in both firm-level and aggregate data. The model features a class of irrational investors, who underreact to the information contained in order flow, thereby boosting liquidity. In the presence of short-sales constraints, unusually high liquidity is a symptom of the fact that the market is currently dominated by these irrational investors, and hence is overvalued. This theory can also explain how managers might successfully time the market for seasoned equity offerings (SEOs), by simply following a rule of thumb that involves issuing when the SEO market is particularly liquid. Empirically, we find that: i) aggregate measures of equity issuance and share turnover are highly correlated; yet ii) in a multiple regression, both have incremental predictive power for future equal-weighted market returns
Stock Return Predictability And Investor Sentiment
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Author : Licheng Sun
language : en
Publisher:
Release Date : 2016
Stock Return Predictability And Investor Sentiment written by Licheng Sun and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
We explore the predictive relation between high-frequency investor sentiment and stock market returns. Our results are based on a proprietary dataset of high-frequency investor sentiment, which is computed based on a comprehensive textual analysis of sources from news wires, internet news sources, and social media. We find substantial evidence that intraday S&P 500 index returns are predictable using lagged half-hour investor sentiment. The predictability is evident based on both in-sample and out-of-sample statistical metrics. We document that this sentiment effect is independent of the intraday momentum effect, which is based on lagged half-hour returns. While the intraday momentum effect only exists in the last half hour, the sentiment effect persists in at least the last two hours of a trading day. From an investment perspective, high-frequency investor sentiment also appears to have significant economic value when evaluated with market timing trading strategies.
Equity Issues In The Spanish Stock Market
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Author : José Emilio Farinós Viñas
language : en
Publisher:
Release Date : 2006
Equity Issues In The Spanish Stock Market written by José Emilio Farinós Viñas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
We investigate whether the market sentiment and/or the specific operating performance of firms that conducted an equity issue on the Spanish stock market during the period 1993-2000 are related to the long-run stock-return underperformance in the year following the issue of small and medium firms. Our results reveal that equity issues were conducted by large firms just when the market showed optimistic expectations towards large firms in general. This overoptimism towards large issue firms was related to the 1990s technology boom in the case of initial public offerings (IPO), but we detect earnings management by large firms that conducted a seasoned equity offering (SEO). In this context, small and medium issuers took advantage of the investors' sentiment towards large firms in order to conduct their overpriced stock issues.
The Debt Equity Choice
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Author : Ronald W. Masulis
language : en
Publisher:
Release Date : 1988
The Debt Equity Choice written by Ronald W. Masulis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Business & Economics categories.