Returns by SEO type and horizon
| Panel A: Total sample | ||||||||
|---|---|---|---|---|---|---|---|---|
| Offering type | N | 12-Month | 24-Month | 36-Month | ||||
| Mean | Median | Mean | Median | Mean | Median | |||
| Rights | BHR | 1,090 | −7.3% | −25.8% | −9.2% | −38.1% | −14.8% | −50.8% |
| Market-Adjusted BHR | −9.9% | −23.7% | −16.8% | −39.6% | −23.9% | −46.8% | ||
| Size-Adjusted BHR | −7.3% | −25.6% | −9.2% | −38.2% | −14.7% | −50.5% | ||
| Public | BHR | 967 | −22.2% | −45.2% | −28.6% | −71.6% | −42.3% | −85.2% |
| Market-Adjusted BHR | −28.8% | −47.4% | −39.6% | −69.4% | −54.9% | −78.9% | ||
| Size-Adjusted BHR | −22.2% | −45.3% | −28.5% | −71.3% | −42.2% | −84.9% | ||
| Offering type | 12-Month | 24-Month | 36-Month | |||||
|---|---|---|---|---|---|---|---|---|
| Mean | Median | Mean | Median | Mean | Median | |||
| Rights | BHR | 1,090 | −7.3% | −25.8% | −9.2% | −38.1% | −14.8% | −50.8% |
| Market-Adjusted BHR | −9.9% | −23.7% | −16.8% | −39.6% | −23.9% | −46.8% | ||
| Size-Adjusted BHR | −7.3% | −25.6% | −9.2% | −38.2% | −14.7% | −50.5% | ||
| Public | BHR | 967 | −22.2% | −45.2% | −28.6% | −71.6% | −42.3% | −85.2% |
| Market-Adjusted BHR | −28.8% | −47.4% | −39.6% | −69.4% | −54.9% | −78.9% | ||
| Size-Adjusted BHR | −22.2% | −45.3% | −28.5% | −71.3% | −42.2% | −84.9% | ||
| Panel B: Test of differences (rights-public) | ||||||
|---|---|---|---|---|---|---|
| 12-Month | 24-Month | 36-Month | ||||
| Mean diff | Median diff | Mean diff | Median diff | Mean diff | Median diff | |
| (t-value) | (Z-score) | (t-value) | (Z-score) | (t-value) | (Z-score) | |
| BHR | 14.9%*** (3.76) | 19.4%*** (8.37) | 19.3%*** (3.66) | 33.5%*** (10.33) | 27.5%*** (5.16) | 34.4%*** (11.19) |
| Market-Adjusted BHR | 18.9%*** (4.91) | 23.7%*** (9.87) | 22.7%*** (4.44) | 29.8%*** (10.64) | 31.1%*** (5.92) | 32.1%*** (11.31) |
| Size-Adjusted BHR | 14.9%*** (3.75) | 19.7%*** (8.39) | 19.3%*** (3.66) | 33.1%*** (10.40) | 27.5%*** (5.16) | 34.4%*** (11.27) |
| 12-Month | 24-Month | 36-Month | ||||
|---|---|---|---|---|---|---|
| Mean diff | Median diff | Mean diff | Median diff | Mean diff | Median diff | |
| ( | ( | ( | ( | ( | ( | |
| BHR | 14.9%*** (3.76) | 19.4%*** (8.37) | 19.3%*** (3.66) | 33.5%*** (10.33) | 27.5%*** (5.16) | 34.4%*** (11.19) |
| Market-Adjusted BHR | 18.9%*** (4.91) | 23.7%*** (9.87) | 22.7%*** (4.44) | 29.8%*** (10.64) | 31.1%*** (5.92) | 32.1%*** (11.31) |
| Size-Adjusted BHR | 14.9%*** (3.75) | 19.7%*** (8.39) | 19.3%*** (3.66) | 33.1%*** (10.40) | 27.5%*** (5.16) | 34.4%*** (11.27) |
Note(s): *** indicates statistical significance at the 1% level. This table reports the returns of SEO firms by offering type (Rights versus Public). BHR is measured from monthly returns, starting from the month subsequent to the SEO. The market-adjusted BHR is the BHR of the SEO firm less the return on its relevant index (KOSPI or KOSDAQ) over the same measurement period. The size-adjusted BHR is the raw BHR less the corresponding period's return of a size-matched portfolio after Jegadeesh (2000). The data cover SEOs from September 2000 to December 2015
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