题 目：SEO Timing, the Cost of Equity Capital, and Liquidity Risk
报告人：Ji-Chai Lin （Louisiana State University）
时 间：6月18日（周五）10:00-11:30am
地 点：成人直播新楼217教室
摘 要：We use a parsimonious asset pricing model to capture time-varying risks surrounding seasoned equity offerings (SEOs) to shed further light on the debate of what causes the ability of firms to time SEOs to periods that are followed by low stock returns. Our results show that (1) managers do not know when the lowest cost of equity capital would occur until it passes, but they promptly file for SEOs right after it does; (2) the pre-filing decline in the cost of equity capital is largely due to market-wide improvements in risks and an additional decrease in SEO firms‘ liquidity risk; (3) their cost of equity capital rebounds but remains relatively low at issuance and thereafter for two to three years, largely due to liquidity risk staying low, relative to comparable non-issuers; (4) controlling for market risk and liquidity risk is sufficient to show no abnormal returns in the post-issue period. Our findings are in contrast to the behavioral explanation of SEO timing; instead, they suggest that issuing firms wait to file SEOs until market conditions and their liquidity environment have improved so that investors have minimal concerns of risks when buying their shares at SEOs.
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