Can Managers Forecast Aggregate Market Returns?
以往研究发现新股发行中股权占比能预测未来股市回报，但本文证明这种预测能力来自伪市场择时，而非管理者的择时能力。
ABSTRACT Previous studies have found that the proportion of equity in total new debt and equity issues is negatively correlated with future equity market returns. Researchers have interpreted this finding as evidence that corporate managers are able to predict the systematic component of their stock returns and to issue equity when the market is overvalued. In this article we show that the predictive power of the share of equity in total new issues stems from pseudo‐market timing and not from any abnormal ability of managers to time the equity markets.