Exploiting the persistence in managerial market timing

Autor:	Shingo Goto, Vitali Kalesnik
Rok vydání:	2022
Předmět:	Transaction cost Investment strategy Portfolio Stock market Business Monetary economics Hedge (finance) Market timing Private information retrieval A share Finance
Zdroj:	Finance Research Letters. 46:102377
ISSN:	1544-6123
DOI:	10.1016/j.frl.2021.102377
Popis:	Some firms time their share issuances/repurchases using their private information while others do not. We identify successful timers by comparing a cash-flow-based measure of net share issuance (NSI) with a share-based measure. Recent successful timers—only a small fraction (23%)—drive the known return predictability of NSI in the following year. The evidence suggests that the stock market underreacts to the persistence of managerial market-timing, providing significant opportunities for investors to mimic successful market-timing in their investment strategies. A value-weighted NSI hedge portfolio formed only on recent successful timers earns a six-factor alpha of 11.8% a year after transaction costs.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::cc7e334485e76a6656b35ff3fa3dbe7d https://doi.org/10.1016/j.frl.2021.102377 Zobrazit plný text záznamu Full Text from ScienceDirect