Can managers forecast aggregate market returns?

• 成果类型: Article
• 署名作者: Butler, AW; Grullon, G; Weston, JP
• 署名单位: State University System of Florida; University of South Florida; Rice University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2005.00752.x
• 发表日期: 2005
• 页码: 963-986
• 关键词: LONG-RUN UNDERPERFORMANCE; initial public offerings; stock returns; time-series; performance; issues; models; tests; accuracy

摘要

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 we show 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.