Investment-Based Underperformance Following Seasoned Equity Offerings

Evgeny Lyandres, Le Sun, Lu Zhang

Research output: Working paper / PreprintWorking paper


Adding a return factor based on capital investment into standard, calendar-time factor regressions makes underperformance following seasoned equity offerings largely insignificant and reduces its magnitude by 37-46%. The reason is that issuers invest more than nonissuers matched on size and book-to-market. Moreover, the low-minus-high investment-to-asset factor earns a significant average return of 0.37% per month. Our evidence suggests that the underperformance results from the negative investment-expected return relation, as predicted by Carlson, Fisher, and Giammarino (2005).
Original languageEnglish
Place of PublicationCambridge, Mass
PublisherNational Bureau of Economic Research
Number of pages54
StatePublished - Jun 2005
Externally publishedYes

Publication series

NameNBER working paper series
PublisherNational Bureau of Economic Research

ULI Keywords

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