Can Managers Forecast Aggregate Market Returns

By Alexander W. Butler, Gustavo Grullon, J. Weston. 2005

156 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/956bcca1b2a6d7ed8ccbbf31c963fb8913b1d375

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Danling Jiang
2. David A. Hirshleifer
3. Amy K. Dittmar
4. Robert F. Dittmar
5. Diego García
6. Siew Hong Teoh
7. Alok Kumar
8. Nicholas Barberis

In Finance

1. Danling Jiang
2. David A. Hirshleifer
3. Amy K. Dittmar
4. Robert F. Dittmar
5. Nicholas Barberis
6. Siew Hong Teoh
7. Diego García
8. Turan G. Bali

In Management Science and Operations Research

1. David A. Hirshleifer
2. Robert F. Dittmar

Citations in the corpus

• The Myth of Long-Horizon Predictability (2005, unknown): “, Campbell (2001), Hodrick (1992), and Boudoukh and Richardson (1994), among others).”
• A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns (2010, result): “This evidence confirms that, despite some critiques of the new issue and repurchase puzzles in the literature (e.g., Brav, Geczy, and Gompers (2000), Butler, Grullon, and Weston (2005)), new issue and repurchase events do indeed contain important information for predicting returns.”
• When does investor sentiment predict stock returns (2012, unknown): “Butler, Grullon, and Weston (2005) argue that the discrepancy between in-sample and out-of-sample results may be attributed to the instability of parameter estimates.”
• The timing of financing decisions: An examination of the correlation in financing waves (2008, background): “However, Butler, Grullon, and Weston (2005) show that the predictive power of the share of equity in total new issues stems from pseudo market timing and not from any abnormal ability of managers to time the equity markets.”
• A Comprehensive Look at the Empirical Performance ofEquity Premium Prediction II (2008, unknown): “For example, as early as 1920, Dow (1920) explored the role of dividend ratios.”
• Legal Insider Trading and Market Efficiency (2008, unknown): “, Manne, 1966; Carlton and Fischel, 1983; Glosten, 1989; Manove, 1989; Leland, 1992). Moreover, Tighe and Michener (1994) argue that only private interests (e.”
• Do managers time the market? Evidence from open-market share repurchases (2007, unknown): “Supporting the importance of pseudo-market timing, Butler, Grullon and Weston (2005) argue that the close link between the portion of equity in new securities issues and future market returns is due to pseudo-market timing.”