Pseudo market timing

A reappraisal

M. Dahlquist, F.C.J.M. de Jong

Research output: Contribution to journalArticleScientificpeer-review

Abstract

The average firm going public or issuing new equity underperforms the market in the long run. This underperformance could be related to the endogeneity of the number of new issues if new issues cluster after periods of high abnormal returns on new issues. In such a case, ex post measures of new issue abnormal returns may be negative on average, despite the absence of ex ante abnormal returns. We evaluate this endogeneity problem in event studies of long-run performance. We argue that it is unlikely that the endogeneity of the number of new issues explains the long-run underperformance of equity issues.
Original languageEnglish
Pages (from-to)547-580
JournalJournal of Financial and Quantitative Analysis
Volume43
Issue number3
Publication statusPublished - 2008

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Market timing
New issues
Endogeneity
Abnormal returns
Underperformance
Equity issues
Equity
Long-run performance
Event study
Going public

Cite this

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Pseudo market timing : A reappraisal. / Dahlquist, M.; de Jong, F.C.J.M.

In: Journal of Financial and Quantitative Analysis, Vol. 43, No. 3, 2008, p. 547-580.

Research output: Contribution to journalArticleScientificpeer-review

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