Numerous studies document long-run underperformance by firms following equity offerings. This paper shows that underperformance is very likely to be observed "ex-post" in an efficient market. The premise is that more firms issue equity at higher stock prices even though they cannot predict future returns. "Ex-post", issuers seem to time the market because offerings cluster at market peaks. Simulations based on 1973 through 1997 data reveal that when "ex-ante" expected abnormal returns are zero, median "ex-post" underperformance for equity issuers will be significantly negative in event-time. Using calendar-time returns solves the problem. Copyright (c) 2003 by the American Finance Association.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Related research
Keywords:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
Erica X. N. Li & Dmitry Livdan & Lu Zhang, 2006.
"Optimal Market Timing,"
NBER Working Papers
12014, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)