Investment-Based Underperformance Following Seasoned Equity Offerings

54 Pages Posted: 25 May 2006 Last revised: 25 Apr 2021

See all articles by Evgeny Lyandres

Evgeny Lyandres

Tel Aviv University

Jerry Sun

Invesco Advisers, Inc.

Lu Zhang

Ohio State University - Fisher College of Business; National Bureau of Economic Research (NBER)

Date Written: July 2005

Abstract

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).

Suggested Citation

Lyandres, Evgeny and Sun, Le and Zhang, Lu, Investment-Based Underperformance Following Seasoned Equity Offerings (July 2005). Available at SSRN: https://ssrn.com/abstract=755695

Evgeny Lyandres

Tel Aviv University ( email )

Ramat Aviv
Tel-Aviv, 6997801
Israel
6400241 (Fax)

Le Sun

Invesco Advisers, Inc.

United States

Lu Zhang (Contact Author)

Ohio State University - Fisher College of Business ( email )

2100 Neil Avenue
Columbus, OH 43210-1144
United States
585-267-6250 (Phone)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
56
Abstract Views
1,842
rank
461,504
PlumX Metrics