Journal ArticleDOI
Post-SEO Performance and Institutional Investors
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TLDR
In this paper, a strong link between institutional investors and long-run stock return and operating performance following seasoned equity offerings (SEOs) is found, and the authors conclude that post-SEO underperformance is not due to the SEO per se but rather is a manifestation of more general effects associated with changes in institutional interest in a firm's stock.Abstract:
We document a strong link between institutional investors and long-run stock return and operating performance following seasoned equity offerings (SEOs). Virtually all of the underperformance is confined to the top two quintiles of stocks with the largest increase in number of institutional investors prior to the post-issue underperformance. Moreover, non-SEO stocks with matching changes in institutional investors exhibit similar long-run underperformance to that of SEO stocks. Thus, we conclude that post-SEO underperformance is not due to the SEO per se but rather is a manifestation of more general effects associated with changes in institutional interest in a firm’s stock.read more
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Book ChapterDOI
Market Liquidity: Asset Pricing with Liquidity Risk
TL;DR: In this paper, a simple equilibrium model with liquidity risk is proposed, where a security's required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return.
Journal ArticleDOI
Institutional Investors and Stock Return Anomalies
TL;DR: In this paper, the authors examine institutional investor demand for stocks that are categorized as mispriced according to twelve well-known pricing anomalies and find that institutional demand during the year prior to anomaly portfolio formation is typically on the wrong side of the anomalies implied mispricing.
Journal ArticleDOI
Mutual Fund Intermediation, Equity Issues, and the Real Economy
TL;DR: In this article, the authors study the real effects of mutual fund investment on productivity and output through their screening role in the new equity issues market and find that fund participation predicts the sensitivity of output to new issues, at both the aggregate and industry level.
Dissertation
Two Essays on Competition, Corporate Investments, and Corporate Earnings
TL;DR: In this paper, the authors examined how changes in the financial and economic environment surrounding a firm affect managerial incentives and firm policies regarding investment in physical capital, innovation, equity offerings, and repurchases, finding that firms operating in competitive industries invest significantly more in both physical capital and research and development relative to their peers in concentrated industries.
Journal ArticleDOI
Predictability of Earnings Following Equity Issues and Buyback Announcements
Shahram Amini,Vijay Singal +1 more
TL;DR: In this article, the authors find evidence of earnings predictability: the market reaction to earnings following buyback announcements is higher by 4.56%, while the difference in market reactions to earnings is smaller at 1.85% when a 5-day window is considered.
References
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Journal ArticleDOI
Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
Journal ArticleDOI
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.
Journal ArticleDOI
The Persistence of Mutual Fund Performance
Mark Grinblatt,Sheridan Titman +1 more
TL;DR: This article analyzed how mutual fund performance relates to past performance and found evidence that differences in performance between funds persist over time and that this persistence is consistent with the ability of fund managers to earn abnormal returns.
Journal ArticleDOI
A Simple Model of Capital Market Equilibrium with Incomplete Information
TL;DR: The model financial economics encompasses finance, micro-investment theory and much of the economics of uncertainty as mentioned in this paper, and it has had a direct and significant influence on practice, as is evident from its influence on other branches of economics including public finance, industrial organization and monetary theory.
Journal ArticleDOI
Illiquidity and Stock Returns: Cross-Section and Time-Series Effects
TL;DR: In this paper, the effects of stock illiquidity on stock return have been investigated and it was shown that expected market illiquidities positively affects ex ante stock excess return (usually called risk premium) over time.