The underreaction hypothesis and the new issue puzzle: Evidence from Japan

Review of Financial Studies

Volumn 12, Issue 3, 1999, Pages 519-534

  Kang, Jun Koo ^a   Kim, Yong Cheol ^b   Stulz, René M ^c  

^a MICHIGAN STATE UNIVERSITY   (United States)

^b CLEMSON UNIVERSITY   (United States)

^c OHIO STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033424167     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/revfin/12.3.0519     Document Type: Article

References (29)

1. Barber, B. M., and J. D. Lyon, 1997, "Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics," Journal of Financial Economics, 43, 341-372.
2. Brav, A., C. Géczy, and P. Gompers, 1995, "Underperformance of Seasoned Equity Offerings Revisited," working paper, Harvard University.
3. Cai, J., and T. Loughran, 1998, "The Performance of Japanese Seasoned Equity Offerings, 1971-1992," Pacific-Basin Finance Journal, 6, 395-425.
4. Chan, L. K. C., Y. Hamao, and J. Lakonishok, 1991, "Fundamentals and Stock Returns in Japan," Journal of Finance, 46, 1739-1764.
5. Cooney, J. Jr., and A. Kalay, 1993, "Positive Information from Equity Issue Announcements," Journal of Financial Economics, 33, 149-172.
6. Cooney, J. Jr., Kiyoshi K., and J. S. Schallheim, 1997, "Underwriter Certification and Japanese Seasoned Equity Issues," working paper, University of Utah.
7. Daniel, K., and S. Titman, 1997, "Evidence on the Cross-Sectional Variation in Stock Returns," Journal of Finance, 52, 1-33.
8. Daniel, K., D. Hirshleifer, and A. Subrahmanyam, 1998, "Investor Psychology and Security Market Over- and Underreactions," Journal of Finance, 53, 1839-1885.
9. Fama, E., 1998, "Market Efficiency, Long-Term Returns, and Behavioral Finance," Journal of Financial Economics, 49, 283-307.
10. Fama, E., and K. French, 1993, "Common Risk Factors in the Returns of Stocks and Bonds," Journal of Financial Economics, 33, 3-55.
11. Fama, E., and K. French, 1998, "Value Versus Growth: The International Evidence," Journal of Finance, 53, 1975-1999.
12. Hertzel, M., and R. Smith, 1993, "Market Discounts and Shareholder Gains for Placing Equity Privately," Journal of Finance, 48, 459-485.
13. Ikenberry, D., J. Lakonishok, and T. Vermaelen, 1995, "Market Underreaction to Open Market Share Repurchases," Journal of Financial Economics, 39, 181-208.
14. Jagannathan, R., K. Kubota, and H. Takehara, 1998, "Relationship Between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market," Journal of Business, 71, 319-348.
15. Jung, K., Y.-C. Kim, and R. M. Stulz, 1996, "Timing, Investment Opportunities, Managerial Discretion, and the Security Issue Decision," Journal of Financial Economics, 42, 159-185.
16. Kahle, Katherine, 1996, "Insider Trading and the Long-Run Performance of New Security Issues," Ph.D. dissertation, Ohio State University.
17. Kang, J.-K., Y.-C. Kim, K.-J. Park, and R. M. Stulz, 1995, "An Analysis of the Wealth Effects of Japanese Offshore Dollar-Denominated Convertible and Warrant Bond Issues," Journal of Financial and Quantitative Analysis, 30, 257-270.
18. Kang, J.-K., and R. M. Stulz, 1996, "How Different is Japanese Corporate Finance? An Investigation of the Information Content of New Security Issues," Review of Financial Studies, 9, 100-139.
19. Kato, K., and J. Schallheim, 1992, "Public and Private Placements of Seasoned Equity Issues in Japan," unpublished manuscript, University of Utah.
20. Kato, K., and J. Schallheim, 1996, "Private Equity Financing in Japan and Corporate Grouping (Keiretsu)," Pacific-Basin Finance Journal, 1, 287-307.
21. Kubota, K., and H. Takehara, 1995, "Common Risk Factor in Tokyo Stock Exchange Firms," working paper, Musashi University.
22. Lakonishok, J., A. Shleifer, and R. Vishny, 1994, "Contrarian Investment, Extrapolation, and Risk," Journal of Finance, 49, 1541-1578.
23. Loughran, T., and J. Ritter, 1995, "The New Issues Puzzle," Journal of Finance, 50, 23-52.
24. McLaughlin, R., A. Safieddine, and G. K. Vasudevan, 1998, "The Long-Run Performance of Convertible Debt Issuers," Journal of Financial Research, 21, 373-388.
25. Mitchell, M. M., and E. Stafford, 1997, "Managerial Decisions and Long-Term Stock Price Performance," CRSP Working Paper 453, University of Chicago.
26. Myers, S. C., and N. Majluf, 1984, "Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have," Journal of Financial Economics, 13, 187-221.
27. Smith, C. W. Jr., 1986, "Investment Banking and the Capital Acquisition Process," Journal of Financial Economics, 15, 3-29.
28. Spiess, K., and J. Affleck-Graves, 1995, "The Long-Run Performance Following Seasoned Equity Issues " Journal of Financial Economics, 38, 243-267.
29. Thurow, L., 1993, Head-to-Head: The Coming Economic Battle Among Japan, Europe and America Warner Books, New York.