Anomalies

被引：115

作者：

Li, Erica X. N.

Livdan, Dmitry ^{[3
]}

Zhang, Lu ^{[1
,2
]}

机构：

[1] Univ Michigan, Stephen M Ross Sch Business, Dept Finance, Ann Arbor, MI 48109 USA

[2] Natl Bur Econ Res, Cambridge, MA 02138 USA

[3] Univ Calif Berkeley, Berkeley, CA 94720 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2009年 / 22卷 / 11期

关键词：

LONG-RUN PERFORMANCE; ASSET PRICE DYNAMICS; CROSS-SECTION; OPERATING PERFORMANCE; CORPORATE-INVESTMENT; STOCK RETURNS; FIRM GROWTH; SIZE; UNDERPERFORMANCE; UNDERREACTION;

D O I：

10.1093/rfs/hhp023

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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)

引用

页码：4301 / 4334

页数：34

共 63 条

[1] Are there economies of scale in underwriting fees?: Evidence of rising external financing costs [J].