Institutional Shareholder Investment Horizons and Seasoned Equity Offerings

Hao, Grace Qing

doi:10.1111/fima.12038

Cited by 38 publications

(36 citation statements)

References 59 publications

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“…In this frame, some articles (Choie, 2016;Markoulis & Neofytou, 2016) targeted on the information asset and stock-taking intelligence of corporate investors, while others (Hao, 2014;Baker, Stein, & Wurgler, 2003;Gibson, Safieddine, & Sonti, 2004) targeted on the trading strategies, tactics and plans, but in both cases no TTF information was given.…”

Section: Motivation and Previous Literaturementioning

confidence: 99%

The Overnight Return Temporal Market Anomaly

Basdekidou

2017

IJEF

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The main goal of this paper is to introduce an innovative market anomaly relating to "time" during the overnight post-market session and therefore characterized as a temporal market anomaly. Anomalies in the markets appear from time to time and test the efficient market hypothesis. Many investors and traders believe that the markets follow the efficient market hypothesis. According to this theory the current price of a security (trading instrument) reflects all public and private information about that security (instrument). Changes in price are due to insider information, current news, or sudden events, which are impossible to predict. Hence, security's price action follows the path of a random walk, the hypothesis and argument of which states that current price is not dependent on past price and is normally or abnormally distributed over time. In financial and economical literature, many studies have presented approaches about what the academics call "market anomalies" and according to literature the anomalies are classified in three categories: Fundamental, Technical, and Calendar-based anomalies. In this article another class of market anomalies is introduced, that simply could be referred to as "temporal" because of the timing functionality involved. Finally, I will discuss one of these "temporal" anomalies, called the overnight return temporal market anomaly. The presented research shows that momentum profit accumulates entirely overnight, while profit on all other strategies occurs entirely intraday. These findings strongly reject classical theories of intraday versus overnight returns.

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Section: Motivation and Previous Literaturementioning

confidence: 99%

The Overnight Return Temporal Market Anomaly

Basdekidou

2017

IJEF

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“…In this frame, some articles (Markoulis & Neofytou, 2016;Moskowitz, Ooi, & Pedersen, 2012) targeted on the information asset and stock-taking intelligence of corporate investors, while others (Hao, 2014;Baker, Stein, & Wurgler, 2003) targeted the trading strategies and plans, but in both cases no TTF information was given. Gibson, Safieddine, and Sonti (2004) report that seasoned equity and option initiatives, with the bigger boost in corporate share-holding, are detected between the (relative to "timing") quarters −1 and +1 and qualify this outperform to their competitive convenience asset position.…”

Section: Motivation and Previous Literaturementioning

confidence: 99%

“…Also, in Skyba"s article no TTF functionalities were discussed. Furthermore, Hao (2014) states that companies with higher short-term non-commercial shareowners (i.e. speculators) enjoy more negative atypical results at the report release timing (intraday trading) and concludes that momentary corporate shareowners and speculators are not prompted to risk their capital and profit in overnight positions (a risky TTF functionality).…”

Section: Problem Introductionmentioning

confidence: 99%

The Momentum & Trend-Reversal as Temporal Market Anomalies

Basdekidou¹

2017

IJEF

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The main goal of this paper is to introduce and discuss the temporal dimension and the subsequent (time-series) functionalities of two well-known technical market anomalies -the momentum anomaly and the trend-reversal anomaly. Our approach not only challenging the efficient-market hypothesis but also has a temporal dimension because it uses the "psychological time" at the beginning of a move, as a parameter in overnight post-market asset position trading strategies and daytime asset position strategies as well. Momentum and reversal have been documented extensively in financial literature and they are viewed, in the current paper, as temporal momentum and temporal trend-reversal anomalies because they are hard to fully explain within the standard static asset-pricing paradigm. A rational dynamic and temporal representative agent could explain and document better these anomalies and this is the case of this article. The presented research shows that momentum profit accumulates entirely overnight, while trend-reversal profit occurs entirely intraday. These findings reject classical theories of intraday and overnight returns. Hence, (i) a well designed overnight-position return strategy based on temporal momentum anomaly; and (ii) a well designed intraday-position return strategy based on temporal trend-reversal anomaly, could gain benefit at the expense of long-term investors and hedgers. After back-testing our research in available 16-year data, we found that overnight-position speculators profit from the proposed temporal momentum trading strategy approach at the expense of hedgers, and daytime swing traders profit from the proposed temporal trend-reversal trading strategy approach at the expense of long-term investors.

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“…Chen, Harford, and Li [20] and Hao [14] argue that long-term institutions tend to be passive traders not interested therefore for the IPO/TTF functionalities. On the other hand, momentary, swing, and intraday trading institutions (and speculators as well) are better informed and tend to trade short-term (or even intraday) the IPO initiatives to materialize their own informational convenience asset position.…”

Section: Corporate Share-holding Around the Equity Ipo Initiativesmentioning

confidence: 99%

“…Also, in this case the TTF functionalities were not discussed. Furthermore, Hao [14] states that companies with higher short-term non-commercial shareowners (speculators) experience more negative atypical returns at the report release (TTF timing) of IPOs and concludes that momentary corporate shareowners and speculators are not prompted to control the usage of the lifted trading capital and profit [4].…”

Section: Introductionmentioning

confidence: 99%

IPO Trading with Short-term & Intraday Temporal Functionalities

Basdekidou¹

2016

Bus Eco J

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Trading is a temporal (i.e. time-based) historical living system with a number of functions, like: Initial Public Offerings (IPO), Seasoned Equity Offerings (SEO), stock (instrument) price action Gaps, Breakouts, etc. In this domain, a number of warning dynamics timing functionalities is available, like: On Open Gup-Ups (ooGUp), On Open Gup-Downs (ooGDn), Morning Breakouts (mB), etc. All these time-based functionalities are regarded as 2 nd level functions (i.e. functions of functions; because of the timing involved) with great trading opportunities, and they are defined-for the first time in the corporate finance literature-by this paper as Temporal (timing) Trading Functionalities (TTF). In particular, the IPOs with the embedded TTF functionalities are great trading opportunities for the institutions, the individual (noncommercial) market investors, the swing traders, and the speculators. Data analysis shows that during the seasoned equity offerings time, shareowners significantly increase their share share-holding, including offerings that would be classified as overpriced at that time; hence, the involved trading volatility is increased resulting in great trading and profit opportunities. This paper contributes to corporate finance literature by examining the IPOs functions and define and document their inherit TTF functionalities. For this purpose, four categories of shareholders are regarded: The longterm institution and non-commercial traders (investors), the swing momentary institution traders (institutions), the shortterm non-commercial traders (speculators) and the intraday non-commercial traders (speculators). Paper concludes that, in IPO/TTF trading, the swing traders(institutions), incorporating in their trading strategies the short-term TTF functionalities, are benefit at the expense of momentary and intraday speculators, while the long-term investors are not affected by the IPO offerings.

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Institutional Shareholder Investment Horizons and Seasoned Equity Offerings

Cited by 38 publications

References 59 publications

The Overnight Return Temporal Market Anomaly

The Overnight Return Temporal Market Anomaly

The Momentum & Trend-Reversal as Temporal Market Anomalies

IPO Trading with Short-term & Intraday Temporal Functionalities

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