@techreport{NBERw11459,
 title = "Investment-Based Underperformance Following Seasoned Equity Offerings",
 author = "Evgeny Lyandres and Le Sun and Lu Zhang",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "11459",
 year = "2005",
 month = "July",
 URL = "http://www.nber.org/papers/w11459",
 abstract = {Adding a return factor based on capital investment into standard, calendar-time factor regressions makes underperformance following seasoned equity offerings largely insignificant and reduces its magnitude by 37-46%. The reason is that issuers invest more than nonissuers matched on size and book-to-market. Moreover, the low-minus-high investment-to-asset factor earns a significant average return of 0.37% per month. Our evidence suggests that the underperformance results from the negative investment-expected return relation, as predicted by Carlson, Fisher, and Giammarino (2005).},
}