Pseudo Market Timing and the Long‐Run Underperformance of IPOs
指出，即使市场有效，股票发行后长期表现不佳也容易被事后观察到，因为更多公司会在股价高时发行股票，导致发行集中在市场高点。基于1973-1997年数据的模拟显示，即使事前预期超额收益为零，事件时间中位数事后表现仍显著为负，而使用日历时间收益可解决此问题。
ABSTRACT Numerous studies document long‐run underperformance by firms following equity offerings. This paper shows that underperformance is very likely to be observed ex‐post in an efficient market. The premise is that more firms issue equity at higher stock prices even though they cannot predict future returns. Ex‐post , issuers seem to time the market because offerings cluster at market peaks. Simulations based on 1973 through 1997 data reveal that when ex‐ante expected abnormal returns are zero, median ex‐post underperformance for equity issuers will be significantly negative in event‐time. Using calendar‐time returns solves the problem.