SEO timing and liquidity risk

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104992

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104992

Title:	SEO timing and liquidity risk
Authors:	林基財;Lin, Ji-Chai;Wu, YiLin
Contributors:	管理學院財務金融學系
Keywords:	Cost of equity capital;Expected returns;Liquidity;Liquidity beta timing;Liquidity risk;Market timing;Risk factors;Seasoned equity offerings;Securities offerings;SEO timing;Studies
Date:	2013-02-01
Issue Date:	2026-04-23 12:03:18 (UTC+8)
Publisher:	Elsevier;Amsterdam: Elsevier B.V
Abstract:	摘要： We extend the market timing literature to show that SEO timing can be characterized by the dynamics of liquidity risk. That is, firms tend to issue SEOs when liquidity risk declines to the point where investors have least concern of the risk. In the absence of liquidity risk, market risk rises right before SEOs and then gradually falls afterwards, consistent with the Q-theory (Carlson et al., 2010). However, once we include liquidity risk factor into the model for expected returns, issuing firms' market risk behaves like that of matched non-issuers, suggesting an omitted risk factor problem in SEO studies that does not take into account the effect of liquidity risk on stock returns. Furthermore, there is no evidence of post-issue long-run underperformance. Our results imply that, instead of timing alpha (i.e., exploiting overpricing, as behavioral finance has suggested), issuing firms time liquidity beta to minimize their cost of equity capital. The liquidity beta timing is especially evident in large offer size issuers. ► Firms time SEOs when liquidity risk declines. ► Controlling for market and liquidity risk shows no post-SEO abnormal returns. ► Larger issuers show lower post-SEO returns because of lower liquidity risk. 出版者： Amsterdam: Elsevier B.V 出版日期： 2013-02-01 出處： Journal of corporate finance (Amsterdam, Netherlands), 2013-02, Vol.19, p.95-118 資源來源： ScienceDirect (Elsevier) Journals 版權： 2012 Elsevier B.V. 版權： Copyright Elsevier Science Ltd. Feb 2013 識別號： ISSN: 0929-1199 識別號： EISSN: 1872-6313 識別號： DOI: 10.1016/j.jcorpfin.2012.09.005
Appears in Collections:	[Department of Finance] journal & Dissertation

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