 Abnormal volatility in seasoned equity offerings during economic disruptionsMason Prasad, Walid Bakry () and Maria Estela Varua Journal of Behavioral and Experimental Finance, 2021, vol. 30, issue C Abstract: Australia has become one of most prolific issuers of seasoned equity offerings (SEOs) globally. Due to its convenience, firms issue SEOs as their primary capital raising mechanism particularly during economic disruptions i.e., the early 2000s dot-com bubble, 2008 Global Financial Crisis and COVID-19. Using an event study for ASX 200 firms from 1998 to 2020, we show that there is an increased intensity of SEO abnormal return volatility and volume during economic disruptions. We find evidence of abnormal return volatility and volume in standalone and restricted SEOs being higher relative to combined SEOs. We also identify that higher performing sectors experience larger abnormal return volatility and volume. Finally, using an improved measure of abnormal return volatility, we capture the time varying nature of volatility using GARCH and GJR-GARCH estimations. We highlight that the traditional abnormal return volatility measure tends to be overstated for some SEO types and understated for others. Keywords: Seasoned equity offering; Abnormal return volatility; Abnormal trading volume; GARCH; Event study; ASX (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000538 DOI: 10.1016/j.jbef.2021.100509 Access Statistics for this article Journal of Behavioral and Experimental Finance is currently edited by Michael Dowling and Jürgen Huber More articles in Journal of Behavioral and Experimental Finance from Elsevier |
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