Pseudo Market Timing: A Reappraisal
重新评估了新股发行长期表现不佳是否由发行数量的内生性导致，认为这种内生性不太可能是长期表现不佳的原因。
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.