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Investment-based underperformance following seasoned equity offerings

Author: Evgeny Lyandres; Le Sun; Lu Zhang; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2005.
Series: Working paper series (National Bureau of Economic Research), no. 11459.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
"Adding a return factor based on capital investment into standard, calendar-time factor regressions makes underperformance following seasoned equity offerings largely insignificant and reduces its magnitude by 37-46%. The reason is that issuers invest more than nonissuers matched on size and book-to-market. Moreover, the low-minus-high investment-to-asset factor earns a significant average return of 0.37% per month.  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Evgeny Lyandres; Le Sun; Lu Zhang; National Bureau of Economic Research.
OCLC Number: 60802465
Notes: June 2005.
Description: 1 online resource (40 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 11459.
Responsibility: Evgeny Lyandres, Le Sun, Lu Zhang.

Abstract:

"Adding a return factor based on capital investment into standard, calendar-time factor regressions makes underperformance following seasoned equity offerings largely insignificant and reduces its magnitude by 37-46%. The reason is that issuers invest more than nonissuers matched on size and book-to-market. Moreover, the low-minus-high investment-to-asset factor earns a significant average return of 0.37% per month. Our evidence suggests that the underperformance results from the negative investment-expected return relation, as predicted by Carlson, Fisher, and Giammarino (2005)"--National Bureau of Economic Research web site.

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