| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12014 |
| 来源ID | Working Paper 12014 |
| Optimal Market Timing | |
| Erica X. N. Li; Dmitry Livdan; Lu Zhang | |
| 发表日期 | 2006-02-06 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | We use a fully-specified neoclassical model augmented with costly external equity as a laboratory to study the relations between stock returns and equity financing decisions. Simulations show that the model can simultaneously and in many cases quantitatively reproduce: procyclical equity issuance; the negative relation between aggregate equity share and future stock market returns; long-term underperformance following equity issuance and the positive relation of its magnitude with the volume of issuance; the mean-reverting behavior in the operating performance of issuing firms; and the positive long-term stock price drift of firms distributing cash and its positive relation with book-to-market. We conclude that systematic mispricing seems unnecessary to generate the return-related evidence often interpreted as behavioral underreaction to market timing. |
| 主题 | Macroeconomics ; Macroeconomic Models ; Consumption and Investment ; Business Cycles ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w12014 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569665 |
| 推荐引用方式 GB/T 7714 | Erica X. N. Li,Dmitry Livdan,Lu Zhang. Optimal Market Timing. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12014.pdf（371KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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