Predicting Returns With Managerial Decision Variables : Is There A Small - Sample Bias ?  

Oleh:

Baker, Malcolm ; Wurgler, Jeffrey ; Taliaferro, Ryan

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 4 (Agu. 2006), page 1711-1730.
Topik: finite sample bias; studies; rates of return; securities markets; regression analysis; decision making; impact analysis; bias; market timing
Fulltext: p 1711.pdf (247.8KB)

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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

Many studies find that aggregate managerial decision variables, such as aggregate equity issuance, predict stock or bond market returns. Recent research argues that these findings may be driven by an aggregate time - series version of Schultz's (2003, Journal of Finance 58, 483-517) pseudo market - timing bias. Using standard simulations techniques, we find that the bias is much too small to account for the observed predictive power of the equity share in new issues, corporate investment plans, insider trading, dividend initiations, or the maturity of corporate debt issues.

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