Long-Term Performance of Seasoned Equity Offerings: Benchmark Errors and Biases in Expectations
研究公司增发股票后五年的长期表现，发现无论公司规模或成长性如何，增发股票均显著跑输多种基准，且因子模型基准存在设定错误，导致对增发股票表现不佳的推断产生误导。
I investigate the long-term performance of firms that issue seasoned equity relative to a variety of benchmarks. I find that these firms significantly underperform all of my benchmarks over the five years following the equity issues. Across SEOs, I find similar levels of underperformance for both small firms and large firms, and both growth firms and value firms. The paper also shows that factor-model benchmarks are misspecified. Hence inferences on SEO underperformance based on such benchmarks are misleading. I also find that SEOs underperform their benchmarks by twice as much within earnings announcement windows as they do outside these windows.