Equity Issues and Stock Price Dynamics
构建了一个信息理论下的无限期模型，预测股权发行前股票通常有异常正回报，发行公告时价格下跌，并衡量了信息不对称的福利成本。
ABSTRACT This paper presents an information‐theoretic, infinite horizon model of the equity issue decision. The model predicts that (a) equity issues on average are preceded by an abnormal positive return on the stock, although for some firms the issue is preceded by a loss; (b) equity issues on average are preceded by an abnormal rise in the market; and (c) the stock price drops at the announcement of an issue. The model provides a measure of the welfare cost of asymmetric information; the welfare loss may be small even if the price drop at issue announcement is large.