Predictive Regressions Based on Managerial Decision Variables: Is There a Small-Sample Bias?
20 Pages Posted: 15 Dec 2011
There are 5 versions of this paper
Predicting Returns with Managerial Decisions Variables: Is There a Small-Sample Bias?
Pseudo Market Timing and Predictive Regressions
Pseudo Market Timing and Predictive Regressions
Predictive Regressions Based on Managerial Decision Variables: Is There a Small-Sample Bias?
Predicting Returns with Managerial Decision Variables: Is There a Small-Sample Bias?
Date Written: December 2011
Abstract
Many studies find that aggregate managerial decision variables, such as aggregate equity issuance, predict stock or bond market returns. Recent research argues that these findings may be driven by an aggregate time-series version of Schultz’s (2003, Journal of Finance 58, 483–517) pseudo market-timing bias. Using standard simulation techniques, we find that the bias is much too small to account for the observed predictive power of the equity share in new issues, corporate investment plans, insider trading, dividend initiations, or the maturity of corporate debt issues.
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