Announcement effects of Seasoned Equity Offerings (SEOs) are a concern of researchers in empirical finance. In the US market many papers report a strong price decline after SEO announcements. Contrary to the US market, a slight price run up after SEO announcements has been reported in the Tokyo market, but these results have a limitation on the number of sample. In this paper we study the announcement effect of SEO firms listed on the 1st section of the Tokyo Stock Exchange based on more than one thousand SEO events. In contrast to the conventional researches, we found negative announcement effects similar to the US market after 2000. Motivated by these results, we conjecture that the Japanese institutional reforms in 2001 caused these negative announcement effects. We think the institutional regulations used to distort the price distribution. We analyze the effect by the option pricing model.
|ジャーナル||Journal of Japan Industrial Management Association|
|出版ステータス||Published - 2010 12 1|
ASJC Scopus subject areas
- 経営科学およびオペレーションズ リサーチ