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Security Issuance and Stock Price Effects with Heterogeneous Beliefs

机译：异质信念下的证券发行和股价影响

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摘要

We analyze the factors that affect security issuance and its impacts on the volatility of stock returns before and after the issuance under heterogeneous beliefs and short sale constraints using the issuing sample of convertible bonds, corporate bonds and stocks in China?s security market during 2007 to 2012. The empirical tests identify that abnormal turnover can portray heterogeneous beliefs much better than dispersion in analysts? earnings forecasts. Firms? pecking order of external financing is convertible bonds, stocks and corporate bonds for the bigger firm size and higher market to book ratio. However, for those firms with higher leverage, issue amount and market volume, their optimal options are stocks, convertible bonds and then corporate bonds. The empirical results also reveal that convertible bonds issuance has a negative impact on price-earnings, but this effect diminishes in the long run. Besides, the influence of stock issuance on its return is negative only on the seasoned equity offering day. However, there is no significant effect on the yield rate in a short-term if corporate bonds are issued. Heterogeneous beliefs have a significant impact on the stock return, while negative for convertible bonds and positive for stocks and corporate bonds.
机译：我们使用2007年至2007年间中国证券市场可转换债券，公司债券和股票的发行样本，分析了在异质信念和卖空约束下，影响证券发行的因素及其对股票发行前后收益率波动的影响。 2012年。经验检验表明，异常营业额比分析师的分散状况能更好地描绘异构信念吗？收益预测。公司？外部融资的先后顺序是可转换债券，股票和公司债券，以扩大公司规模并提高市净率。但是，对于那些具有较高杠杆率，发行量和市场量的公司，其最佳选择是股票，可转换债券，然后是公司债券。实证结果还表明，可转换债券的发行对市盈率有负面影响，但从长远来看，这种影响会减弱。此外，股票发行对其收益的影响仅在经验丰富的股票发行日为负。但是，如果发行公司债券，则短期内对收益率没有重大影响。异构信念对股票收益具有重大影响，而可转换债券则不利，而股票和公司债券则有利。

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