на главную поиск contacts

Announcement effects of new equity issues and the use of intraday price data

Опубликовано на портале: 02-10-2003
Journal of Financial Economics. 1988.  Vol. 21. No. 1. P. 71-99. 
This paper examines the intraday market response to announcements of new equity issues. For fifteen minutes following the announcement, there is abnormally high volume and a -1.3% average return. There is also a small, but significant, negative average return in the hour before the announcement. Issue size, intended use of proceeds, and estimated profitability of new investment are uncorrelated with the announcement effect. After the issuance of new shares, there is a significant price recovery of 1.5%. This evidence is inconsistent with many theoretical rationales for the negative market reaction to new equity issue announcements.

текст статьи в формате PDF доступен на персональной страничке Майкла Барклая
J. Barclay):
Ключевые слова

См. также:
Fisher Black
Journal of Financial Economics. 1974.  Vol. 4. No. 1. P. 337-52 . 
Franco Modigliani, Merton H. Miller
American Economic Review. 1958.  Vol. 48. No. 3. P. 261-297. 
Andrew A. Samwick
Empirical Foundations of Household Taxation. 1996.  P. 193-226. 
James H. Lorie, Leonard J. Savage
Journal of Business. 1955.  Vol. 28. No. 4. P. 229-239.