Order Imbalance, Short-term Performance, and Long-term Performance of SEOs

• Main Authors: Kun-Ming Chang, 張坤明
• Other Authors: Sue-Jane Chiang
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/17306771095977559876

碩士 === 輔仁大學 === 企業管理學系管理學碩士班 === 99 === Abstract: Most of the prior studies on seasoned equity offerings (SEO), like Masulis, Korwari (1986), Asquisth and Mullins (1986), Tyler and Jennifer (2009), focus on the announcement effects. However, we could also find some interesting phenomenon: the more the stock price rose before SEO, the lower long-run performance will be. What caused the special stock price trend stated? Has the price been manipulated by specific interest groups? Using 463 Taiwan’s SEOs in sampling period 1995-2010 we find that the trading behavior of the institutional investors who has the technical background, compared to other two types, is more accurate. The returns of the stocks they bought are positive and distinctive no matter whether it is short-term abnormal return or long-term performance (1-2years). As a whole, SEO is only a piece of fragmental and incomplete information. Only when we cross study the trading behavior of different investors in various time periods we can bridge the information gaps. In our research, we found that when “insiders” invest, they closely monitor the “discounting rate.” In between announcing and pricing period of their investing target companies, these insiders have smaller discounting rate; as a result, they can use lower price to obtain capital. The long-term effect, however, turns out less effective. Meanwhile, we also studied the other type of investors-- the institutional investors. They purchase during pricing and ex-right period. Their initial return is higher and their long-term effect is better as well. Both of their short-term and long-term outcomes are outstanding. The last group we studied is individual investors. Their investing behaviors seem more irrational. Both of their long-term and short-term investments are less effective. It most likely is due to information asymmetry.