EQUITY ISSUES WITH TIME-VARYING ASYMMETRIC INFORMATION

被引：51

作者：

KORAJCZYK, RA ^{[1
]}

LUCAS, DJ ^{[1
]}

MCDONALD, RL ^{[1
]}

机构：

[1] NATL BUR ECON RES,CAMBRIDGE,MA 02138

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1992年 / 27卷 / 03期

关键词：

D O I：

10.2307/2331327

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper develops a formal model of the effect of time-varying asymmetric information on the timing and pricing of equity issues when managers are better informed than outside investors. We assume that as time passes, the adverse selection problem becomes more severe as more managers receive a private signal. Under this assumption, the model predicts temporal variation in the quantity of issues, with a bunching of issues after information releases. It also predicts that the price drop at issue announcement increases with the time since the last information release. These predictions are consistent with several recent empirical studies relating equity issues to earnings and dividend announcements.

引用

页码：397 / 417

页数：21

共 18 条

[1] MARKET FOR LEMONS - QUALITY UNCERTAINTY AND MARKET MECHANISM [J].