Journal of Financial Economics
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Опубликовано на портале: 05-10-2004Clifford W. Smith Journal of Financial Economics. 1986. Vol. 15. No. 1-2. P. 3-29.
This paper reviews the theory and evidence on the process by which corporations raise debt and equity capital and the associated effects on security prices. Findings from related transactions are used to test hypotheses about the stock price patterns accompanying announcements of security offerings. Various contractual alternatives employed in security issues are examined; for example, rights or underwritten offers, negotiated or competitive bid, best efforts or firm commitment contracts, and shelf or traditional registration. Finally, incentives for underpricing new issues are analyzed.
Опубликовано на портале: 25-10-2007Kenneth R. French, Richard Roll Journal of Financial Economics. 1986. Vol. 17. No. 1. P. 5-26.
Asset prices are much more volatile during exchange trading hours than during non-trading hours. This paper considers three explanations for this phenomenon: (1) volatility is caused by public information which is more likely to arrive during normal business hours; (2) volatility is caused by private information which affects prices when informed investors trade; and (3) volatility is caused by pricing errors that occur during trading. Although a significant fraction of the daily variance is caused by mispricing, the behavior of returns around exchange holidays suggests that private information is the principle factor behind high trading-time variances.
Опубликовано на портале: 13-10-2004Wayne H. Mikkelson, M. Megan Partch Journal of Financial Economics. 1986. Vol. 15. No. 1-2. P. 31-60.
This study examines the stock price effects of security offerings and investigates the nature of information inferred by investors from offering announcements. Changes in share price are unrelated to characteristics of offerings such as the net amount of new financing, relative offering size, and the quality rating of debt issues. The type of security is the only significant determinant of the price response. The opposite patterns of abnormal stock returns following the announcement of completed versus cancelled offerings suggest that managers issue common stock or convertible debt when in managers' view shares are overpriced.
Why new issues are underpriced [статья]
Опубликовано на портале: 26-10-2004Kevin Rock Journal of Financial Economics. 1986. Vol. 15. No. 1-2. P. 187-212.
This paper presents a model for the underpricing of initial public offerings. The argument depends upon the existence of a group of investors whose information is superior to that of the firm as well as that of all other investors. If the new shares are priced at their expected value, these priveleged investors crowd out the others when good issues are offered and they withdraw from the market when bad issues are offered. The offering firm must price the shares at a discount in order to guarantee that the uninformed investors purchase the issue.