Pseudo Market Timing and the Long-Run Underperformance of IPOs  

Oleh:

Schultz, Paul

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 2 (Apr. 2003), page 483-517.
Fulltext: p 483.pdf (355.5KB)

Isi artikel

Numerous studies document long-run underperformance by ¢rms following equity o¡erings.This paper shows that underperformance is very likely to be observed ex-post in an e/cient market. The premise is that more ¢rms issue equity at higher stock prices even though they cannot predict future returns. Ex-post, issuers seem to time the market because o¡erings 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 signi¢cantly negative in event-time.Using calendar-time returns solves the problem.

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