Pseudo Market Timing and the Long-Run Underperformance of IPOs

By Paul H. Schultz. 2003

433 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3f8d03038b39ba281dbac002c81ade14bfbfd5c3

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Citations in the corpus

Can Managers Time the Market? Evidence Using Repurchase Price Data (2015, background): “…Vermaelen (1995, 2000a and b), and Peyer and Vermaelen (2009) present evidence consistent with market timing, while Eckbo, Masulis, and Norli (2000), Schultz (2003), Butler, Grullon, and Weston (2005), and Dittmar and Dittmar (2008) dispute the interpretation of these findings as evidence of…”
Can Managers Forecast Aggregate Market Returns (2005, background): “Schultz (2003) argues that firms tend to issue equity more frequently at higher prices.”
Do managers time the market? Evidence from open-market share repurchases (2007, positive): “To address whether evidence of managerial timing ability may be innocently explained away by mechanical decision rules, we review the implications of the pseudo-market timing hypothesis proposed by Schultz (2003) .”
Expectations of Returns and Expected Returns (2014, neutral): “Firms also tend to issue equity following periods of good market performance (Schultz 2003; Baker and Xuan 2009).”
The Myth of Long-Horizon Predictability (2005, neutral): “…the shocks to annual returns and the predictor.18 This relation between the predictor and lagged returns [referred to as pseudo market timing by Schultz (2003)] generates a bias in exactly the same way as does the mechanical correlation between returns and predictors that are pricescaled…”
A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns (2010, background): “11 Schultz (2003) suggests that the long-term performance of new issues and repurchases may be a result of a pseudo-market-timing problem rather than market efficiency.”
Liquidity risk, leverage and long-run IPO returns (2005, positive): “ Schultz (2003) shows that if firms tend to issue after stock price increases (for whatever reason), issues will on average be followed ex post by underperformance.”