文章基本信息

标题：The Methodology Matters: What Influences Market Reaction, and Post-Issue Returns in Seasoned Equity Offerings?
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作者：C. N. V. Krishnan ; Minghao Wu
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2022
卷号：15
期号：10
页码：1-22
DOI：10.3390/jrfm15100473
语种：English
出版社：MDPI, Open Access Journal
摘要：Abstract Using a large database of U.S. seasoned equity offering (SEO) announcements from 2010 to 2015, we examine the effects of several explanatory variables—firm specific, macroeconomic, fixed income, and stock market variables—on the announcement period abnormal stock returns and on the longer-run post-issue abnormal returns. We use five different statistical methods—multivariate linear regression, regression on a reduced model using principal components analysis, year-by-year regression on a reduced model using principal components analysis, random forest regression on the whole sample, and year-by-year random forest regression. In general, across the methods, we find that firm’s profitability in the recent past is an important explanatory factor in both short-term and long-term abnormal stock returns, but several other significant explanatory factors change based on the statistical method used. Therefore, the statistical method used affects the results reported.
关键词：seasoned equity offerings;SEO;announcement period abnormal stock returns;long-run post-issue abnormal returns;principal components analysis;random forest regression;key determinants