Mutual Fund Trading Pressure: Firm‐Level Stock Price Impact and Timing of SEOs
研究发现，资金大量流入的共同基金买入行为会造成股价上涨，这种外生的高估信号会促使公司在随后四个季度内更可能进行增发、内幕卖出或股票收购，表明管理者能识别并利用股价高估。
ABSTRACT We use price pressure resulting from purchases by mutual funds with large capital inflows to identify overvalued equity. This is a relatively exogenous overvaluation indicator as it is associated with who is buying—buyers with excess liquidity—rather than what is being purchased. We document substantial stock price impact associated with purchases by high‐inflow mutual funds, and find the probability of a seasoned equity offering (SEO), insider sales, and the probability of a stock‐based acquisition increase significantly in the four quarters following the mutual fund buying pressure. These results provide new evidence that firm managers are able to identify and exploit overvalued equity.