Corporate Investment and Asset Price Dynamics: Implications for SEO Event Studies and Long‐Run Performance
提出一个关于增发（SEO）的理性理论，解释发行前价格攀升、公告负面效应和长期表现不佳，通过实物期权框架说明增长期权转为现有资产后风险下降，校准模型匹配SEO收益动态的主要特征。
ABSTRACT We present a rational theory of SEOs that explains a pre‐issuance price run‐up, a negative announcement effect, and long‐run post‐issuance underperformance. When SEOs finance investment in a real options framework, expected returns decrease endogenously because growth options are converted into assets in place. Regardless of their risk, the new assets are less risky than the options they replace. Although both size and book‐to‐market effects are present, standard matching procedures fail to fully capture the dynamics of risk and expected return. We calibrate the model and show that it closely matches the primary features of SEO return dynamics.