Self-selection and stock returns around corporate security offering announcements

@inproceedings{Dutordoir2012SelfselectionAS,
  title={Self-selection and stock returns around corporate security offering announcements},
  author={Marie Dutordoir and Laurie Simon Hodrick},
  year={2012}
}
Stock returns around security offering announcements are conditional on firms’ selfselection into a particular security type. We use a switching regression methodology on a data set of U.S. straight debt, convertible debt, and seasoned equity offerings to estimate counterfactual announcement returns that would be obtained had the same firms instead opted for alternative financing. Our evidence is consistent with firms choosing the financing type with the least negative expected announcement… CONTINUE READING

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