Predicting Returns with Managerial Decision Variables: Is There a Small‐Sample Bias?
通过模拟检验发现，所谓伪市场时机偏差太小，不足以解释管理者决策变量（如股票发行、公司投资计划、内部人交易等）对市场回报的预测能力。
ABSTRACT Many studies find that aggregate managerial decision variables, such as aggregate equity issuance, predict stock or bond market returns. Recent research argues that these findings may be driven by an aggregate time‐series version of Schultz's (2003, Journal of Finance 58, 483–517) pseudo market‐timing bias. Using standard simulation techniques, we find that the bias is much too small to account for the observed predictive power of the equity share in new issues, corporate investment plans, insider trading, dividend initiations, or the maturity of corporate debt issues.