TY - JOUR
T1 - The new issues puzzle
T2 - Testing the investment-based explanation
AU - Lyandres, Evgeny
AU - Sun, Le
AU - Zhang, Lu
PY - 2008/11
Y1 - 2008/11
N2 - An investment factor, long in low-investment stocks and short in high-investment stocks, helps explain the new issues puzzle. Adding the investment factor into standard factor regressions reduces the SEO underperformance by about 75%, the IPO underperformance by 80%, the underperformance following convertible debt offerings by 50%, and Daniel and Titmans (2006) composite issuance effect by 40%. The reason is that issuers invest more than nonissuers, and the investment factor earns a significantly positive average return of 0.57% per month.
AB - An investment factor, long in low-investment stocks and short in high-investment stocks, helps explain the new issues puzzle. Adding the investment factor into standard factor regressions reduces the SEO underperformance by about 75%, the IPO underperformance by 80%, the underperformance following convertible debt offerings by 50%, and Daniel and Titmans (2006) composite issuance effect by 40%. The reason is that issuers invest more than nonissuers, and the investment factor earns a significantly positive average return of 0.57% per month.
UR - http://www.scopus.com/inward/record.url?scp=47749110019&partnerID=8YFLogxK
U2 - 10.1093/rfs/hhm058
DO - 10.1093/rfs/hhm058
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AN - SCOPUS:47749110019
SN - 0893-9454
VL - 21
SP - 2825
EP - 2855
JO - Review of Financial Studies
JF - Review of Financial Studies
IS - 6
ER -