Algorithmic Trading and Changes in Firms’ Equity Capital
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 1, 2013
We assess the effect of algorithmic trading (AT) on firms’ capital raising activities. We use a large, international sample from 2001 to 2011 that incorporates intraday transactions data from 42 exchanges and an average of 21,552 common stocks. Greater AT intensity reduces net equity issues over the next year, and net equity declines with both firm-specific and market-wide AT intensity. But these effects are only partly driven by AT’s effect on proceeds from new securities issues. Instead, the main driver of this relationship is AT’s effect on share repurchases. Our results suggest that AT intensity is related to managerial decision making regarding firms’ capital structures.
Number of Pages in PDF File: 32working papers series
Date posted: November 1, 2013
© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo3 in 0.437 seconds