Composite equity issuance anomaly is puzzling. This study presents a risk-based explanation that complements and transcends the behavior-based explanation by prior mainstream literature. Investors react to the signal embedded in the composite equity issuance and adjust a firm's risk level through implied cost of equity capital, which leads to lower subsequent stock returns. Empirical results show that firms with higher composite equity issuance are associated with more expensive equity financing. This positive effect remains solid after addressing potential endogeneity and is robust to individual and alternative measures of implied cost of equity capital. Moreover, further evidence demonstrates the role of agency problem for both internal and external factors. The positive effect is more pronounced for firms with less independent and diversified boards, lower financial reporting quality and leverage, higher R&D spending, in a non-competitive environment, and during a financial crisis respectively.

中文翻译：

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复合型股票发行为何不受股市青睐？基于风险的异常解释

综合股发行异常令人费解。这项研究提出了一种基于风险的解释，补充并超越了先前主流文献基于行为的解释。投资者对综合股票发行中嵌入的信号做出反应，并通过隐含的股权资本成本来调整公司的风险水平，从而导致随后的股票回报较低。实证结果表明，综合股票发行量较高的公司与较高的股权融资成本相关。在解决潜在的内生性问题后，这种积极影响仍然稳固，并且对于股本隐含成本的单独和替代衡量指标来说是稳健的。此外，进一步的证据表明代理问题对内部和外部因素的作用。对于董事会独立性和多元化程度较低、财务报告质量和杠杆率较低、研发支出较高、在非竞争环境中以及在金融危机期间的公司来说，积极影响更为明显。