Does market microstructure matter for corporate finance? Theory and evidence on seasoned equity offering decisions

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• 作者：William Cheung^a ; ^{wcheung@umac.mo" class="auth_mail" title="E-mail the corresponding author} ; Scott Fung^b ; ^{scott.fung@csueastbay.edu" class="auth_mail" title="E-mail the corresponding author} ; Lewis Tam^a ; ^{lewistam@umac.mo" class="auth_mail" title="E-mail the corresponding author}
• 关键词：C25 ; D82 ; G12 ; G14 ; G32
• 刊名：The Quarterly Review of Economics and Finance
• 出版年：2016
• 出版时间：May 2016
• 年：2016
• 卷：60
• 期：Complete
• 页码：149-161
• 全文大小：666 K

文摘

This study presents a theoretical model and empirical analysis to examine how market microstructure affects Seasoned Equity Offering (SEO) decisions from the perspective of information production associated with market liquidity. We present two sets of new findings. First, the market illiquidity of a firm's stock (measured by price impact and bid-ask spread) has a significantly negative impact on the probability of SEO, as well as on the size of the offering. A decrease of the pre-issue price impact by one standard deviation is associated with an increase of normalized SEO proceeds of 9.7%. The impact of market illiquidity is larger when pre-SEO price is less informative. Second, SEO decision predicts a more informative stock price. Our results are robust to alternative measures of market liquidity, price informativeness and SEO.