The new issues puzzle: Testing the investment-based explanation
Publication
, Journal Article
Lyandres, E; Sun, L; Zhang, L
Published in: Review of Financial Studies
November 1, 2008
An investment factor, long in low-investment stocks and short in high-investment stocks, helps explain the new issues puzzle. Adding the investment factor into standard factor regressions reduces the SEO underperformance by about 75%, the IPO underperformance by 80%, the underperformance following convertible debt offerings by 50%, and Daniel and Titmans (2006) composite issuance effect by 40%. The reason is that issuers invest more than nonissuers, and the investment factor earns a significantly positive average return of 0.57% per month.
Duke Scholars
Published In
Review of Financial Studies
DOI
EISSN
1465-7368
ISSN
0893-9454
Publication Date
November 1, 2008
Volume
21
Issue
6
Start / End Page
2825 / 2855
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory
Citation
APA
Chicago
ICMJE
MLA
NLM
Lyandres, E., Sun, L., & Zhang, L. (2008). The new issues puzzle: Testing the investment-based explanation. Review of Financial Studies, 21(6), 2825–2855. https://doi.org/10.1093/rfs/hhm058
Lyandres, E., L. Sun, and L. Zhang. “The new issues puzzle: Testing the investment-based explanation.” Review of Financial Studies 21, no. 6 (November 1, 2008): 2825–55. https://doi.org/10.1093/rfs/hhm058.
Lyandres E, Sun L, Zhang L. The new issues puzzle: Testing the investment-based explanation. Review of Financial Studies. 2008 Nov 1;21(6):2825–55.
Lyandres, E., et al. “The new issues puzzle: Testing the investment-based explanation.” Review of Financial Studies, vol. 21, no. 6, Nov. 2008, pp. 2825–55. Scopus, doi:10.1093/rfs/hhm058.
Lyandres E, Sun L, Zhang L. The new issues puzzle: Testing the investment-based explanation. Review of Financial Studies. 2008 Nov 1;21(6):2825–2855.
Published In
Review of Financial Studies
DOI
EISSN
1465-7368
ISSN
0893-9454
Publication Date
November 1, 2008
Volume
21
Issue
6
Start / End Page
2825 / 2855
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory