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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/31360
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| Title: | Predictive regressions based on managerial decision variables: Is there
a small-sample bias? |
| Authors: | Wurgler, Jeffrey
Baker, Malcolm
Taliaferro, Ryan |
| Issue Date: | 13-Dec-2011 |
| Series/Report no.: | FIN-11-027 |
| 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. |
| URI: | http://hdl.handle.net/2451/31360 |
| Appears in Collections: | Finance Working Papers
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