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Long-Run Seasoned Equity Offering Returns: Data Snooping, Model Misspecification, or Mispricing? A Costly Arbitrage Approach
16 references·1 citing·32 second hop
Long-Run Seasoned Equity Offering Returns: Data Snooping, Model Misspecification, or Mispricing? A Costly Arbitrage Approach (2002)Long-Run Seasoned Equity Offering Returns…Managerial Decisions and Long‐Term Stock Price Performance (2000)Managerial Decisions and Long…Industry costs of equity (1997)Industry costs of equityDetecting long-run abnormal stock returns: The empirical power and specification of test statistics (1997)Detecting long-run abnormal s…The New Issues Puzzle (1995)The New Issues PuzzleThe Limits of Arbitrage (1995)The Limits of ArbitrageThe Long‐Run Performance of initial Public Offerings (1991)The Long‐Run Performance of i…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have (1984)Corporate Financing and Inves…Corporate financing and investment decisions when firms have information that investors do not have (1984)Corporate financing and inves…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…The relationship between return and market value of common stocks (1981)The relationship between retu…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The General Theory of Employment, Interest and Money. (1936)The General Theory of Employm…The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employm…Accounting for the Anomaly Zoo: A Trading Cost Perspective (2017)Accounting for the Anomaly Zo…The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On Persistence in Mutual Fund Performance (1997)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Determinants of corporate borrowing (1977)The Determination of Financial Structure: The Incentive-Signalling Approach (1977)The Capital Structure Puzzle (1984)The Determinants of Capital Structure Choice (1988)Event Studies in Economics and Finance (1997)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)A Survey of Corporate Governance (1997)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Does the Stock Market Overreact? (1985)Postwar U.S. Business Cycles: An Empirical Investigation (1997)A model of investor sentiment /Market Liquidity and Funding Liquidity (2008)Introduction: epistemic communities and international policy coordination (1992)
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References

  • 1984Corporate financing and investment decisions when firms have information that investors do not have18,936 cited
  • 1936The General Theory of Employment, Interest and Money.14,486 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1984Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have6,535 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1936The General Theory of Employment, Interest and Money, by John Maynard Keynes6,220 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1997Industry costs of equity5,793 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1995The New Issues Puzzle3,550 cited
  • 1991The Long‐Run Performance of initial Public Offerings3,500 cited
  • 1997Detecting long-run abnormal stock returns: The empirical power and specification of test statistics2,690 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited

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  • 2000Managerial Decisions and Long‐Term Stock Price Performance1,573 cited
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    • 2017Accounting for the Anomaly Zoo: A Trading Cost Perspective28 cited