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Details for article 6 of 6 found articles
| Title: |
The Timing Ability of Newly Listed NYSE Firms, 1926-1962 |
| Author: |
Loughran, Tim Marietta-Westberg, Jennifer |
| Appeared in: |
Journal of behavioral finance |
| Paging: | Volume 6 (2005) nr. 2 pages 44-56 |
| Year: |
2005-06-01 |
| Contents: |
We demonstrate that, from 1926 to 1962, the number of new listings on the New York Stock Exchange has predictive ability for future aggregate market returns. The forecasting power of new listings is evident even after controlling for previously documented market predictors, such as the dividend yield. While firms do not appear to time their own performance, tests investigating aggregate market movements around new listing dates are consistent with forecasting ability of the new listing variable. In particular, we use non-parametric regression methods to determine the functional relationship between one-year post-market returns and new listings. We find a decreasing trend in the expected one-year post-market return as a function of the number of new listings each quarter. Subsequent tests show that mean reversion in market returns does not drive the predictive evidence found here. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 6 of 6 found articles
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