Pseudo market timing and predictive regressions
By: Malcolm P. Baker, Ryan Taliaferro, Jeffrey Wurgler.
Contributors: Taliaferro, Ryan.; Wurgler, Jeffrey.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10823; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10823.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Stocks -- Mathematical models.; Investment analysis -- Mathematical models.; Stock price forecasting -- Mathematical models.; Speculation -- Mathematical models.
Description: "A number of studies claim that aggregate managerial decision variables, such as aggregate equity issuance, have power to predict stock or bond market returns.  Recent research argues that these results may be driven by an aggregate time-series version of Schultz's (2003) pseudo market timing bias.  We use standard simulation techniques to estimate the size of the aggregate pseudo market timing bias for a variety of predictive regressions based on managerial decision variables.  We find that the bias can explain only about one percent of the predictive power of the equity share in new issues, and that it is also much too small to overturn prior inferences about the predictive power of corporate investment plans, insider trading, dividend initiations, or the maturity of corporate debt issues"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 1/7/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.