Order Flow Patterns Around Seasoned Equity Offerings and Their Implications for Stock Price Movements

37 Pages Posted: 25 May 2006

See all articles by Sahn-Wook Huh

Sahn-Wook Huh

State University of New York (SUNY) - Department of Finance

Avanidhar Subrahmanyam

University of California, Los Angeles (UCLA) - Finance Area; Institute of Global Finance, UNSW Business School; Financial Research Network (FIRN)

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Abstract

In this study, we employ order imbalance measures to provide evidence that there is cross-sectional heterogeneity in investor reactions to seasoned equity offerings (SEOs). The normally positive relation between imbalances and returns disappears for trade number imbalances but remains intact for dollar imbalances following SEOs. The return-imbalance delinkage is most pronounced for SEO stocks in which institutions (non-institutions) are net sellers (buyers). We also find that the SEO portfolio in which large institutional investors are net sellers strongly underperforms the complementary portfolio in which they are net buyers.

Suggested Citation

Huh, Sahn-Wook and Subrahmanyam, Avanidhar, Order Flow Patterns Around Seasoned Equity Offerings and Their Implications for Stock Price Movements. International Review of Finance, Vol. 5, No. 1-2, pp. 75-111, March/June 2005. Available at SSRN: https://ssrn.com/abstract=904068 or http://dx.doi.org/10.1111/j.1468-2443.2006.00052.x

Sahn-Wook Huh (Contact Author)

State University of New York (SUNY) - Department of Finance ( email )

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Avanidhar Subrahmanyam

University of California, Los Angeles (UCLA) - Finance Area ( email )

Los Angeles, CA 90095-1481
United States
310-825-5355 (Phone)
310-206-5455 (Fax)

Institute of Global Finance, UNSW Business School

Sydney, NSW 2052
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

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