رابطه بین فعالیت های تامین مالی شرکت ها، پیش بینی های تحلیلگران و بازده سهام

We develop a comprehensive and parsimonious measure of corporate financing activities and document a negative relation between this measure and both future stock returns and future profitability. The economic and statistical significance of our results is stronger than in previous research focusing on individual categories of corporate financing activities. To discriminate between risk versus misvaluation as explanations for this relation, we analyze the association between our measure of external financing and sell-side analysts’ forecasts. Consistent with the misvaluation explanation, our measure of external financing is positively related to overoptimism in analysts’ forecasts.

A large body of evidence documents a negative relation between external financing activities and future stock returns. Future stock returns are unusually low in the years following initial public offerings (Ritter, 1991), seasoned equity offerings (Loughran and Ritter, 1997), debt offerings (Spiess and Affleck-Graves, 1999) and bank borrowings (Billett et al., 2001). Conversely, future stock returns are unusually high following stock repurchases (Ikenberry et al., 1995). Ritter (2003), in a recent review of this literature, notes that this relation holds across a broad range of corporate financing activities. He concludes that despite the large expenditure of resources on analyst coverage, there is little academic work emphasizing the importance of analysts’ role in marketing corporate financing activities. In this paper, we provide a comprehensive analysis of the relation between corporate financing activities, stock returns and analysts’ forecasts. A key innovation of our research design is the use of statement of cash flows data to construct a comprehensive and parsimonious measure of the net amount of cash generated by corporate financing activities. In contrast to previous research that has focused on individual categories of corporate financing transactions, this feature of our research design allows us to simultaneously investigate the relation between a firm's entire portfolio of corporate financing activities and stock returns. A second innovation in our research design is that we analyze the properties of a comprehensive set of analyst forecasting variables, including short-term earnings per share (EPS) forecasts, long-term EPS growth forecasts, buy/sell recommendations and target prices. This feature of our research design enables us to develop and test hypotheses concerning how the properties of analysts’ forecasts vary by type of corporate financing activity. Our results can be summarized as follows. First, we document a strong negative relation between our comprehensive measure of net external financing and future stock returns. For example, a long–short investment strategy based on net external financing generates a 15.5% average annual return over the 30 years covered by our study. The returns to this strategy dominate the returns to strategies based on individual categories of external financing activities. Second, we show that there is a negative relation between net external financing and future profitability. This relation is present for both equity and debt financing, though it is stronger for equity financing. Third, we show that there is a strong positive relation between net external financing and overoptimism in analysts’ forecasts. This relation holds for short-term EPS forecasts, long-term EPS growth forecasts, buy/sell recommendations and target prices. For example, firms in the top financing decile have 1-year (2-year) ahead earnings forecast errors that are 1.7 (2.2) times as optimistic as those for the bottom financing decile. We also find that the degree of overoptimism in specific forecasting variables is systematically related to the type of corporate financing activity. For debt transactions, overoptimism is concentrated in short-term EPS forecasts. For equity transactions, overoptimism extends to long-term EPS growth forecasts, buy/sell recommendations and target prices. Finally, we show that external financing activity dominates investment banking affiliation as a determinant of analyst optimism. Our findings have several implications. First, our analysis of analyst forecast errors helps discriminate between risk and misvaluation as explanations for the predictable stock returns following corporate financing activities. Consistent with the misvaluation hypothesis, the predictable stock returns are directly related to predictable errors in analysts’ earnings forecasts. Additionally, we find that analysts set significantly higher target prices for firms raising new financing. If the lower future stock returns for firms raising new financing represent a lower risk premium, then we would expect analysts to set lower target prices for these firms. Overall, the results are consistent with the hypothesis that firms time their corporate financing activities to exploit the temporary misvaluation of their securities in capital markets. Second, our results suggest that the negative stock returns following new security issuances are primarily attributable to firm misvaluation (Loughran and Ritter, 2000) rather than wealth transfers between stockholders and bondholders (Eberhart and Siddique, 2002). The misvaluation hypothesis posits that firms issue new securities when they are overvalued. Thus, both debt and equity issuances are predicted to be negatively related to future stock returns. The wealth transfer hypothesis discussed in Eberhart and Siddique (2002) posits that financing transactions reducing (increasing) leverage reduce (increase) the probability of financial distress and so transfer wealth from (to) stockholders to (from) bondholders. They also assume that the market value of equity responds to these changes with a lag, so transactions that increase (decrease) leverage are assumed to be positively (negatively) related to future stock returns. Thus, holding other financing activities constant, the wealth transfer hypothesis predicts that changes in debt should be positively related to future stock returns. We show that changes in debt are negatively related to future stock returns. This evidence is consistent with the firm misvaluation hypothesis, but inconsistent with the wealth transfer hypothesis. Third, the strong relation that we document between analysts’ overoptimism and net external financing supports allegations that sell-side analysts routinely generate overly optimistic stock research for firms that are issuing new securities. Moreover, we find that the nature of the overoptimism is tailored to the type of security being issued. There are three non-mutually exclusive explanations for these findings. First, analysts could self-select into covering the particular issuing firms that they naively forecast to have the best future prospects. Second, management could self-select into issuing securities during periods in which their inside information indicates that analysts’ forecasts are most optimistic. Third, conflicts stemming from incentives to generate investment banking and/or brokerage business could lead analysts to intentionally bias their forecasts. Note that irrespective of the explanation, analysts’ forecasts can still be characterized as biased from a rational expectations viewpoint, because we find that the overoptimism remains even after the analysts learn of the new security issuances. Finally, our tests for investment banking conflicts complement and extend previous research examining whether affiliated analysts issue more favorable research reports than unaffiliated analysts (see, e.g., Dugar and Nathan, 1995; Lin and McNichols, 1998; Dechow et al., 2000; Michaely and Womack, 1999; Lin et al., 2003; Agrawal and Chen, 2003). Affiliated analysts are defined as analysts working for firms having investment banking ties to the corporations that they cover. Collectively, these studies find mixed and inconclusive evidence as to whether affiliated analysts issue more optimistic research than unaffiliated analysts. Our research shows that external financing activity is more important than analyst affiliation in explaining analyst optimism. In other words, analysts are overoptimistic about the future performance of firms that are raising new financing regardless of whether or not the analysts have explicit investment banking affiliations with these firms. These results suggest that overoptimism is primarily attributable to some combination of indirect investment banking pressures, incentives to generate brokerage business and analyst naiveté, rather than to direct investment banking conflicts. The remainder of the paper is organized as follows. The next section develops our motivation and research design. Section 3 describes our data and 4 and 5 present our empirical analyses. Section 6 concludes.

This paper provides a comprehensive examination of the negative relation between external financing activities and future stock returns. Previous research in this area has been restricted to samples focusing on specific categories of corporate financing activities (e.g., equity issuances, equity repurchases, debt issuances). We show that exploiting aggregated information from the financial statements relating to such events results in more comprehensive measures and more powerful tests. The magnitude of the security mispricing related to external financing is substantial: a decile sort on our comprehensive measure of net external financing yields annual hedge portfolio returns of 15.5%. We also document a systematic negative relation between external financing and future earnings performance and a systematic positive relation between external financing and overoptimism in analysts’ forecasts. Finally, our evidence indicates that overoptimism is systematically related to the type of security being issued. Overoptimism for debt issuances is restricted to short-term earnings forecasts, while overoptimism for equity securities extends to long-term earnings growth forecasts, stock price targets and stock recommendations. This evidence indicates that analysts play a central role in the overpricing of security issuances. Our paper also raises a number of issues that are worthy of additional investigation. Perhaps the most important unanswered question is the explanation for the overvaluation of firms raising external financing. We provide evidence that external financing is negatively related to future earnings performance. There are, however, several competing explanations for this negative relation. First, management could opportunistically raise new financing when they realize that the profitability of their current investments is about to deteriorate. This explanation is most consistent with the views expressed in the finance literature (see Ritter, 2003). Second, management could invest the proceeds from their external financing activities less profitably. This explanation is consistent with the anecdotes concerning investor and manager hubris during ‘hot issue’ markets. Third, management could opportunistically manage earnings upwards during periods in which they are raising external financing. Rangan (1998), Teoh et al. (1998), and Richardson et al. (2005) provide evidence consistent with this explanation. We note that these three explanations are not mutually exclusive. A related question concerns the motives of analysts in issuing overoptimistic forecasts. Are analysts naively fooled into issuing overoptimistic forecasts for firms raising external financing, or are they acting opportunistically to generate investment banking and/or brokerage fees?