Abstract

http://ssrn.com/abstract=2050856
 
 

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Algorithmic Trading and Changes in Firms’ Equity Capital


Ekkehart Boehmer


Singapore Management University - Lee Kong Chian School of Business

Kingsley Y. L. Fong


University of New South Wales - School of Banking and Finance; Financial Research Network (FIRN)

Juan (Julie) Wu


University of Georgia

November 12, 2012

FIRN Research Paper

Abstract:     
We use a large sample from 2001 to 2009 that incorporates intraday transactions data from 39 exchanges and an average of 12,800 different common stocks to assess the effect of algorithmic trading (AT) on firms’ capital raising activities. Greater AT reduces net equity issues over the next year, but this is only partly driven by AT’s effect on proceeds from new securities issues. Our findings suggest that the main driver of this relationship is AT’s effect on share repurchases.

Number of Pages in PDF File: 36

Keywords: Algorighmic trading, high frequency trading, capital raising, security issues

JEL Classification: G10, G15, G32

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Date posted: May 6, 2012 ; Last revised: February 5, 2013

Suggested Citation

Boehmer, Ekkehart and Fong, Kingsley Y. L. and Wu, Juan (Julie), Algorithmic Trading and Changes in Firms’ Equity Capital (November 12, 2012). FIRN Research Paper. Available at SSRN: http://ssrn.com/abstract=2050856 or http://dx.doi.org/10.2139/ssrn.2050856

Contact Information

Ekkehart Boehmer (Contact Author)
Singapore Management University - Lee Kong Chian School of Business ( email )
Singapore

Kingsley Y. L. Fong
University of New South Wales - School of Banking and Finance ( email )
Sydney, NSW 2052
Australia
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

Juan (Julie) Wu
University of Georgia ( email )
Dept. of Finance, Terry College of Business
University of Georgia
Athens, GA 30602-6254
United States
HOME PAGE: http://www.terry.uga.edu/directory/profile/juliewu/
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