Equity Issues with Time-Varying Asymmetric Information
构建了一个模型，研究当经理人比外部投资者信息更优时，随时间变化的信息不对称如何影响股权发行的时机和定价。模型预测发行集中在信息发布后，且公告时的价格下跌随上次信息发布的时间间隔增加而增大，与实证研究一致。
This paper develops a formal model of the effect of time-varying asymmetric information on the timing and pricing of equity issues when managers are better informed than outside investors. We assume that as time passes, the adverse selection problem becomes more severe as more managers receive a private signal. Under this assumption, the model predicts temporal variation in the quantity of issues, with a bunching of issues after information releases. It also predicts that the price drop at issue announcement increases with the time since the last information release. These predictions are consistent with several recent empirical studies relating equity issues to earnings and dividend announcements.