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Algorithmic Trading and Changes in Firms’ Equity Capital

36 Pages Posted: 6 May 2012 Last revised: 5 Feb 2013

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)

J. (Julie) Wu

University of Nebraska at Lincoln

Multiple version iconThere are 2 versions of this paper

Date Written: November 12, 2012

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.

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

JEL Classification: G10, G15, G32

Suggested Citation

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

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

J. (Julie) Wu

University of Nebraska at Lincoln ( email )

Lincoln, NE 68588
United States

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