Year: 2005
Type: report
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).
DOI: 10.3386/w11459
Authors: Evgeny Lyandres, Le Sun, Lu Zhang
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1525398484