Investment-based underperformance following seasoned equity offerings
By: Evgeny Lyandres, Le Sun, Lu Zhang.
Contributors: Sun, Le.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11459; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11459.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Capital investments.; Regression analysis.
Description: "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.
Notes: Includes bibliographical references.
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