Equity Issues and Stock Price Dynamics
构建了一个信息理论下的无限期模型，研究股权发行决策，预测发行前股价异常上涨、市场上升及公告时股价下跌，并衡量信息不对称的福利成本。
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.