Good post and research. I've had two published research papers...

Good post and research.

I've had two published research papers in the field. One had to do with convertible bonds and common stock returns and another on volume.

I used both for ideas for a trading system that worked well for many years.

I think that one 'problem' with your research is that you should expand the dates that performance is measured.

For example, look at the a time period xx weeks prior to the announcement of the capital raisings and also xx weeks after it as well.

Based on the fact that many companies start the process weeks before they are announced there is IMO a certain amount of 'leakage' or trading on inside information going on before the capital raising. (And that doesn't mean insiders are doing the trading either!!).

This can be front running by people selling out ahead of the offering in order to avoid losses or a pump by interested parties to jack up the share price so that the capital raising is done at a higher price.

Also there appear to be certain markers or flags that seem to be common before capital raisings as well and could be incorporated into your research.