Anomalies

• 成果类型: Article
• 署名作者: Li, Erica X. N.; Livdan, Dmitry; Zhang, Lu
• 署名单位: University of Michigan System; University of Michigan; National Bureau of Economic Research; University of California System; University of California Berkeley
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhp023
• 发表日期: 2009
• 页码: 4301
• 关键词: LONG-RUN PERFORMANCE; asset price dynamics; cross-section; operating performance; corporate-investment; stock returns; firm growth; size; UNDERPERFORMANCE; underreaction

摘要

We take a simple g-theory model and ask how well it can explain external financing anomalies, both qualitatively and quantitatively. Our central insight is that optimal investment is an important driving force of these anomalies. The model simultaneously reproduces procyclical equity issuance waves, the negative relation between investment and average returns, long-term underperformance following equity issues, positive long-term drift following cash distributions, the mean-reverting operating performance of issuing and cash-distributing firms, and the failure of the CAPM in explaining the long-term stock-price drifts. However, the model cannot fully capture the magnitude of the positive drift following cash distributions observed in the data. (JEG D21, D92, E22, E44, G12, G14, G31, G32, G35)