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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26528
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| Title: | Pseudo Market Timing and Predictive Regressions |
| Authors: | Baker, Malcolm
Taliaferro, Ryan
Wurgler, Jeffrey |
| Issue Date: | 28-Sep-2004 |
| Series/Report no.: | FIN-04-021 |
| Abstract: | A number of studies claim that aggregate managerial decision variables,
such as aggregate equity issuance, have power to predict stock or bond
market returns. Recent research argues that these results may be driven
by an aggregate time-series version of Schultz’s (2003) pseudo
market timing bias. We use standard simulation techniques to estimate
the size of the aggregate pseudo market timing bias for a variety of
predictive regressions based on managerial decision variables. We find
that the bias can explain only about one percent of the predictive power
of the equity share in new issues, and that it is also much too small to
overturn prior inferences about the predictive power of corporate
investment plans, insider trading, dividend initiations, or the maturity
of corporate debt issues. |
| URI: | http://hdl.handle.net/2451/26528 |
| Appears in Collections: | Finance Working Papers
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