주가변동과 기업의 주식발행 행태간의 동태적 관계

Recent studies on initial public offering (IPO) and seasoned equity offering (SEO) suggest that those firms which issue new stocks take advantage of so-called favorable 'window of opportunity' which temporarily arise in the market. If this is the case, it is expected that the stock issuing activities of firms are likely to increase when the firms perceive a positive stock price change as temporary (i.e., short-lived and reverting). In this study, we decompose the stock price changes into permanent and temporary ones by employing the method suggested by Blanchard and Quah (1989). The results show that the equity financing ratio measured by the amount of fund raised by equity issuance divided by the total amount of fund raised through capital market respond far more strongly to the temporary shocks to stock price than to the permanent shocks to stock price. This is consistent with the observation that stock issuing activities of firms tend to increase following a period of significant price rise and decrease in a bearish market.