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The announcement effect on mean and variance for underwritten and non-underwritten SEOs

Wikner, Marcus LU and Aneheim Ulvenäs, Joel (2013) NEKK01 20131
Department of Economics
Abstract
This thesis investigates the stock return and its variance around seasoned equity offering announcements for Swedish companies listed on the OMX Large cap, Mid cap and Small cap exchanges. The analysis is made on a full sample containing 52 SEOs, as well as two sub-samples containing underwritten and non-underwritten SEOs. The framework for the event study is OLS regressions based on the CAPM-model.
During the studied sample period, January 2006 to December 2010, companies making SEO announcements are found to exhibit a significant negative average cumulative abnormal return of around 2.5 percent on the announcement day as well as for a three-day horizon. For longer horizons, the average cumulative abnormal return is around negative 1.6... (More)
This thesis investigates the stock return and its variance around seasoned equity offering announcements for Swedish companies listed on the OMX Large cap, Mid cap and Small cap exchanges. The analysis is made on a full sample containing 52 SEOs, as well as two sub-samples containing underwritten and non-underwritten SEOs. The framework for the event study is OLS regressions based on the CAPM-model.
During the studied sample period, January 2006 to December 2010, companies making SEO announcements are found to exhibit a significant negative average cumulative abnormal return of around 2.5 percent on the announcement day as well as for a three-day horizon. For longer horizons, the average cumulative abnormal return is around negative 1.6 percent. Non-underwritten SEOs are found to exhibit less negative returns than underwritten ones, which is in line with previous studies investigating this matter.
The return variance for an issuing company is found to increase during the month following the SEO announcement for 40 out of 52 companies, whereof 30 variance ratios are found to be significant. Further, there is no evidence that there is a significant difference in return variance between underwritten and non-underwritten SEOs. (Less)
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author
Wikner, Marcus LU and Aneheim Ulvenäs, Joel
supervisor
organization
course
NEKK01 20131
year
type
M2 - Bachelor Degree
subject
keywords
Seasoned equity offerings, Nyemissioner, Garanterade, Underwritten, Abnormal returns, Variance
language
English
id
3878653
date added to LUP
2013-06-24 10:53:09
date last changed
2013-06-24 10:53:09
@misc{3878653,
  abstract     = {This thesis investigates the stock return and its variance around seasoned equity offering announcements for Swedish companies listed on the OMX Large cap, Mid cap and Small cap exchanges. The analysis is made on a full sample containing 52 SEOs, as well as two sub-samples containing underwritten and non-underwritten SEOs. The framework for the event study is OLS regressions based on the CAPM-model. 
During the studied sample period, January 2006 to December 2010, companies making SEO announcements are found to exhibit a significant negative average cumulative abnormal return of around 2.5 percent on the announcement day as well as for a three-day horizon. For longer horizons, the average cumulative abnormal return is around negative 1.6 percent. Non-underwritten SEOs are found to exhibit less negative returns than underwritten ones, which is in line with previous studies investigating this matter. 
The return variance for an issuing company is found to increase during the month following the SEO announcement for 40 out of 52 companies, whereof 30 variance ratios are found to be significant. Further, there is no evidence that there is a significant difference in return variance between underwritten and non-underwritten SEOs.},
  author       = {Wikner, Marcus and Aneheim Ulvenäs, Joel},
  keyword      = {Seasoned equity offerings,Nyemissioner,Garanterade,Underwritten,Abnormal returns,Variance},
  language     = {eng},
  note         = {Student Paper},
  title        = {The announcement effect on mean and variance for underwritten and non-underwritten SEOs},
  year         = {2013},
}