The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Anomalies
Abstract
We take a simple q-theory model and ask how well it can explain external financing anomalies, both qualitatively and quantitatively. Our central insight is that optimal investment is an important driving force of these anomalies. The model simultaneously reproduces procyclical equity issuance waves, the negative relation between investment and average returns, long-term underperformance following equity issues, positive long-term drift following cash distributions, the mean-reverting operating performance of issuing and cash-distributing firms, and the failure of the CAPM in explaining the long-term stock-price drifts. However, the model cannot fully capture the magnitude of the positive drift following cash distributions observed in the data.
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Citations
Cites
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
On the Size Distribution of Business Firms
Lucas, R. E. (1978) · The Bell Journal of Economics · doi:10.2307/3003596 · Cited by 3,236
The determinants of corporate leverage and dividend policies
Barclay, M. J., Smith, C. W., & Watts, R. L. (1995) · Journal of applied corporate finance · doi:10.1111/j.1745-6622.1995.tb00259.x · Cited by 555
Cited by
Dynamic Models and Structural Estimation in Corporate Finance
Strebulaev, I. A. (2011) · Foundations and Trends® in Finance · doi:10.1561/0500000035 · Cited by 259
An Equilibrium Valuation of Bitcoin and Decentralized Network Assets
Pagnotta, E., & Buraschi, A. (2018) · doi:10.2139/ssrn.3142022 · Cited by 199
Metadata
- Authors
- Li, E. X. N., Livdan, D., & Zhang, L.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2009-04-01
- Volume
- 22
- Issue
- 11
- Pages
- 4301-4334
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W4241415723
- Cited by
- 204
- References
- 3
- FWCI
- 28.01
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
