Publication Type:
journal articles
Publication Year:
2006
Publication Bibliography:
Propensity Score Matching and Abnormal Performance After Seasoned Equity Offerings
(with Xinlei Zhao)
Journal of Empirical Finance , 13(3), 2006, pp.351-370
Abstract: The long-run underperformance of stocks after seasoned equity offerings (SEOs) is a major challenge to the efficient market hypothesis. We reexamine the SEO underperformance anomaly using the propensity score matching method on a sample of around 2000 offerings between 1986 and 1998. While underperformance characterizes equal-weight and buy-and-hold returns if traditional matching methods are used, the underperformance is economically and statistically insignificant when we match issuers to non-issuers by propensity scores. Our results suggest that SEO underperformance manifests statistical inadequacies of traditional matching methods rather than an anomaly challenging the efficient market hypothesis.
[go to paper]
Publication Reference Link:
Break down of publication data into fields
Publication Title:
Author Name:
Co-Author Name(s):
c
d
Conference Title:
Report Title:
Title of Paper:
Chapter Title:
Title of Journal:
Title of Book:
Conference Name:
City and Province/State/Country:
Editor's Name (if different from Author's Name):
Volume and Issue:
ISBN/Catalogue No:
Publisher:
City:
Page Number(s):
Publication Type:
Publication Category: