Pseudo market timing: A reappraisal
Dahlquist,M. de Jong,F.C.J.M.
Dahlquist,M.
de Jong,F.C.J.M.
Abstract
The average firm going public or issuing new equity underperforms the market in the long run. This underperformance could be related to the endogeneity of the number of new issues if new issues cluster after periods of high abnormal returns on new issues. In such a case, ex post measures of new issue abnormal returns may be negative on average, despite the absence of ex ante abnormal returns. We evaluate this endogeneity problem in event studies of long-run performance. We argue that it is unlikely that the endogeneity of the number of new issues explains the long-run underperformance of equity issues.
Description
Date
2008
Journal Title
Journal ISSN
Volume Title
Publisher
Research Projects
Organizational Units
Journal Issue
Keywords
SDG 4 - Quality Education
Citation
Dahlquist, M & de Jong, F C J M 2008, 'Pseudo market timing : A reappraisal', Journal of Financial and Quantitative Analysis, vol. 43, no. 3, pp. 547-580.