Heterogeneous beliefs and return volatility around seasoned equity offerings

被引：16

作者：

Hibbert, Ann Marie ^{[1
]}

Kang, Qiang ^{[2
]}

Kumar, Alok ^{[3
]}

Mishra, Suchi ^{[2
]}

机构：

[1] West Virginia Univ, John Chambers Coll Business & Econ, POB 6025, Morgantown, WV 26506 USA

[2] Florida Int Univ, Coll Business, Modesto A Maidique Campus,11200 SW 8th St,RB 208B, Miami, FL 33199 USA

[3] Univ Miami, Miami Herbert Business Sch, 514E Jenkins Bldg,5250 Univ Dr, Coral Gables, FL 33124 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2020年 / 137卷 / 02期

关键词：

Return volatility; SEOs; Analyst forecast dispersion; Trade-based heterogeneity in beliefs; Short selling; EARNINGS MANAGEMENT; REAL ACTIVITIES; CROSS-SECTION; SHORT-SALES; STOCK-MARKET; DISPERSION; OPINION; RISK; INFORMATION; UNCERTAINTY;

D O I：

10.1016/j.jfineco.2020.03.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the dynamics of heterogeneous beliefs and link them to the volatility pattern throughout the seasoned equity offering (SEO) event window. In sync with a reduction in information asymmetry related to management information releases around the SEO event, belief heterogeneity declines. Moreover, heterogeneity in beliefs, proxied by either analyst- or institutional-trade-based measures, is a robust and salient determinant of SEO firm volatility, which provides an explanation for the volatility timing "puzzle" identified in the SEO market. Furthermore, the relation between heterogeneous beliefs and return volatility weakens as short sale constraints tighten, suggesting a potential causal link. (C) 2020 Elsevier B.V. All rights reserved.

引用

页码：571 / 589

页数：19

共 58 条

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