Investment-Based Underperformance Following Seasoned Equity Offerings / Evgeny Lyandres, Le Sun, Lu Zhang.

Format:

Book

Author/Creator:

Lyandres, Evgeny.

Contributor:

National Bureau of Economic Research.

Sun, Le.

Zhang, Lu.

Series:

Working Paper Series (National Bureau of Economic Research) no. w11459.

NBER working paper series no. w11459

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2005.

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. Our evidence suggests that the underperformance results from the negative investment-expected return relation, as predicted by Carlson, Fisher, and Giammarino (2005).

Notes:

Print version record

July 2005.