The ex-date impact of rights offerings. The evidence from firms listed on the Tokyo stock exchange

Vidhan Goyal; Chuan Yang Hwang; Narayanan Jayaraman; Kuldeep Shastri

doi:10.1016/0927-538X(94)90021-3

The ex-date impact of rights offerings. The evidence from firms listed on the Tokyo stock exchange

Vidhan Goyal^*, Chuan Yang Hwang, Narayanan Jayaraman, Kuldeep Shastri

^*Corresponding author for this work

Research output: Contribution to journal › Journal Article › peer-review

8 Citations (Scopus)

Abstract

This paper examines the behavior of stock price and trading volume around the ex-dates of rights offerings by firms listed on the Tokyo Stock Exchange. Based on a sample of 248 rights offerings over the time period from 1975 to 1989, we document a significant abnormal stock return of 7.10 percent on the ex-date of an offering. We also find significant increases in trading activity on the ex-date, and the five days leading up to the ex-date, with these increases being related to the ex-date abnormal return. In addition, our investigation reveals an increase in stock volatility after the ex-date, with the median value of this increase being 18 percent. Our results also indicate that a part of this volatility increase can be explained by changes in bid-ask spreads around the ex-date.

Original language	English
Pages (from-to)	277-291
Number of pages	15
Journal	Pacific Basin Finance Journal
Volume	2
Issue number	2-3
DOIs	https://doi.org/10.1016/0927-538X(94)90021-3
Publication status	Published - May 1994
Externally published	Yes

Keywords

Bid-ask spreads
Ex-date abnormal returns
Return volatility
Rights offerings
Trading volume

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10.1016/0927-538X(94)90021-3

Cite this

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title = "The ex-date impact of rights offerings. The evidence from firms listed on the Tokyo stock exchange",

abstract = "This paper examines the behavior of stock price and trading volume around the ex-dates of rights offerings by firms listed on the Tokyo Stock Exchange. Based on a sample of 248 rights offerings over the time period from 1975 to 1989, we document a significant abnormal stock return of 7.10 percent on the ex-date of an offering. We also find significant increases in trading activity on the ex-date, and the five days leading up to the ex-date, with these increases being related to the ex-date abnormal return. In addition, our investigation reveals an increase in stock volatility after the ex-date, with the median value of this increase being 18 percent. Our results also indicate that a part of this volatility increase can be explained by changes in bid-ask spreads around the ex-date.",

keywords = "Bid-ask spreads, Ex-date abnormal returns, Return volatility, Rights offerings, Trading volume",

author = "Vidhan Goyal and Hwang, \{Chuan Yang\} and Narayanan Jayaraman and Kuldeep Shastri",

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AU - Hwang, Chuan Yang

AU - Jayaraman, Narayanan

AU - Shastri, Kuldeep

PY - 1994/5

Y1 - 1994/5

N2 - This paper examines the behavior of stock price and trading volume around the ex-dates of rights offerings by firms listed on the Tokyo Stock Exchange. Based on a sample of 248 rights offerings over the time period from 1975 to 1989, we document a significant abnormal stock return of 7.10 percent on the ex-date of an offering. We also find significant increases in trading activity on the ex-date, and the five days leading up to the ex-date, with these increases being related to the ex-date abnormal return. In addition, our investigation reveals an increase in stock volatility after the ex-date, with the median value of this increase being 18 percent. Our results also indicate that a part of this volatility increase can be explained by changes in bid-ask spreads around the ex-date.

AB - This paper examines the behavior of stock price and trading volume around the ex-dates of rights offerings by firms listed on the Tokyo Stock Exchange. Based on a sample of 248 rights offerings over the time period from 1975 to 1989, we document a significant abnormal stock return of 7.10 percent on the ex-date of an offering. We also find significant increases in trading activity on the ex-date, and the five days leading up to the ex-date, with these increases being related to the ex-date abnormal return. In addition, our investigation reveals an increase in stock volatility after the ex-date, with the median value of this increase being 18 percent. Our results also indicate that a part of this volatility increase can be explained by changes in bid-ask spreads around the ex-date.

KW - Bid-ask spreads

KW - Ex-date abnormal returns

KW - Return volatility

KW - Rights offerings

KW - Trading volume

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DO - 10.1016/0927-538X(94)90021-3

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EP - 291

JO - Pacific Basin Finance Journal

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ER -

The ex-date impact of rights offerings. The evidence from firms listed on the Tokyo stock exchange

Abstract

Keywords

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