Can Managers Forecast Aggregate Market Returns ?  

Oleh:

Weston, James P. ; Butler, Alexander W. ; Grullon, Gustavo

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 60 no. 2 (Apr. 2005), page 963-986.
Topik: FORECASTING; studies; forecasts; market timing; securities offerings; correlation analysis; economic crisis; rates of return
Fulltext: p 963.pdf (154.44KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Previous studies have found that the proportion of equity in total new debt and equity issues is negatively correlated with future equity market returns. Researchers have interpreted this finding as evidence that corporate managers are able to predict the systematic component of their stock returns and to issue equity when the market is overvalued. In this article it is shown that the predictive power of the share of equity in total new issues stems from pseudo - market timing and not from any abnormal ability of managers to time the equity markets. The findings reinforce an important result from the literature on predictive regressions - in - sample predictability does not provide prima facie evidence of inefficient markets. In addition, the results complement a number of recent empirical studies that find weak or non existent underperformance after IPOs or seasoned equity offerings.

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