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Heterogeneous beliefs and return volatility around seasoned equity offerings
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Hibbert, Ann Marie, Kang, Qiang, Kumar, Alok and Mishra, Suchi (2020) Heterogeneous beliefs and return volatility around seasoned equity offerings. Journal of Financial Economics, 137 (2). pp. 571-589. doi:10.1016/j.jfineco.2020.03.003 ISSN 0304-405X.
An open access version can be found in:
Official URL: https://doi.org/10.1016/j.jfineco.2020.03.003
Abstract
We investigate the dynamics of heterogeneous beliefs and link them to the volatility pattern throughout the seasoned equity offering (SEO) event window. In sync with a reduction in information asymmetry related to management information releases around the SEO event, belief heterogeneity declines. Moreover, heterogeneity in beliefs, proxied by either analyst- or institutional-trade-based measures, is a robust and salient determinant of SEO firm volatility, which provides an explanation for the volatility timing “puzzle” identified in the SEO market. Furthermore, the relation between heterogeneous beliefs and return volatility weakens as short sale constraints tighten, suggesting a potential causal link.
Item Type: | Journal Article | ||||||||
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||||
Journal or Publication Title: | Journal of Financial Economics | ||||||||
Publisher: | Elsevier Science BV | ||||||||
ISSN: | 0304-405X | ||||||||
Official Date: | August 2020 | ||||||||
Dates: |
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Volume: | 137 | ||||||||
Number: | 2 | ||||||||
Page Range: | pp. 571-589 | ||||||||
DOI: | 10.1016/j.jfineco.2020.03.003 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Related URLs: | |||||||||
Open Access Version: |
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