The New Issues Puzzle: Testing the Investment-Based Explanation
发现一个投资因子（做多低投资股票、做空高投资股票）能解释新发行谜题，将投资因子加入标准因子回归后，SEO、IPO等发行后的弱势表现大幅降低，原因是发行者投资更多，且投资因子月均收益显著为正。
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 Titman's (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. The Author 2007. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oxfordjournals.org., Oxford University Press.