Lyandres, Evgeny; Sun, Le; Zhang, Lu - In: Review of Financial Studies 21 (2008) 6, pp. 2825-2855
An investment factor, long in low-investment stocks and short in high-investment stocks, helps explain the new issues puzzle. Adding the investment factor into standard factor regressions reduces the SEO underperformance by about 75%, the IPO underperformance by 80%, the underperformance...