Title: Investment-based underperformance following seasoned equity offerings
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.
Subjects: Capital investments, Econometric models, Investments, Rate of return, Regression analysis