Firm-level investor favoritism and the external financing and capital expenditure anomalies

IF 1.9 Q2 BUSINESS, FINANCE
Lucile Faurel, Mark Soliman, Jessica Watkins, Teri Lombardi Yohn
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引用次数: 0

Abstract

Prior literature documents a positive (negative) relation between past (future) stock returns and both external financing and capital expenditures. In this study, we examine whether managers’ financing and capital expenditure decisions are associated with firm-level investor favoritism (neglect) and, therefore, whether managers exploit investor mispricing by issuing more (less) capital and investing more (less) in capital expenditures when firm-level investor sentiment is high (low), which leads to more negative future stock returns. We employ both a stock’s extreme return momentum and extreme trading volume to capture firm-level investor favoritism (neglect), which reflects firm-level investor overpricing (underpricing) due to investor sentiment. We find that both external financing and capital expenditure decisions are positively (negatively) associated with favoritism (neglect) and that the previously documented negative association between future stock returns and external financing is more pronounced in periods of favoritism. However, we find no association between future stock returns and capital expenditures after controlling for external financing. These findings suggest that managers’ financing and capital expenditure decisions are associated with firm-level investor favoritism/neglect, and that managers exploit investor mispricing in making financing decisions, resulting in lower future stock returns.

Abstract Image

公司层面的投资者偏好与外部融资和资本支出异常现象
先前的文献记录了过去(未来)股票回报与外部融资和资本支出之间的正(负)关系。在本研究中,我们考察了管理者的融资和资本支出决策是否与公司层面的投资者偏好(忽视)相关,因此,当公司层面的投资者情绪高涨(低落)时,管理者是否会利用投资者的错误定价,增发(减少)资本和增加(减少)资本支出投资,从而导致未来股票回报率更加负面。我们利用股票的极端回报势头和极端交易量来捕捉公司层面的投资者偏好(忽视),这反映了投资者情绪导致的公司层面的投资者定价过高(过低)。我们发现,外部融资和资本支出决策都与偏好(忽视)正(负)相关,而且之前记录的未来股票回报与外部融资之间的负相关在偏好时期更为明显。然而,在控制了外部融资后,我们发现未来股票回报与资本支出之间没有关联。这些发现表明,管理者的融资和资本支出决策与公司层面的投资者偏好/忽视有关,管理者在做出融资决策时利用了投资者的错误定价,导致未来股票回报率降低。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
3.20
自引率
17.60%
发文量
87
期刊介绍: Review of Quantitative Finance and Accounting deals with research involving the interaction of finance with accounting, economics, and quantitative methods, focused on finance and accounting. The papers published present useful theoretical and methodological results with the support of interesting empirical applications. Purely theoretical and methodological research with the potential for important applications is also published. Besides the traditional high-quality theoretical and empirical research in finance, the journal also publishes papers dealing with interdisciplinary topics.
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