Both market timing and investment-based theories of corporate financing predict underperformance after firms raise capital, but only market timing predicts that the composition of financing (equity compared to debt) should also forecast returns. In cross-sectional tests, we find that the amount of net financing is more important than its composition in explaining future stock returns. In the ti...

Market timing is a popular active investment strategy that promises to beat the market. However, the evidence on the ability of timers to outperform the market is mixed. This paper provides strong supporting evidence of the timing ability of RTE Asset Management by investigating the implemented buy and sell recommendations derived from its proprietary computerized model over the 1979±1999 perio...

This paper evaluates the market timing and security selection capabilities of Australian pooled superannuation funds over the eight-year period from January 1991 to December 1998. Evaluation of both components of investment performance is surprisingly scarce in the Australian literature despite active investment managers engaging in both market timing and security selection. The paper also eval...

A simple equilibrium restriction identifies time-varying components of expected returns. Using data from the Fama and French threeand fivefactor models and momentum, we use this restriction to predict factor returns out of sample. We derive a policy for timing exposures to these components and find the modified portfolio generates returns with higher out-of-sample Sharpe ratios than the underly...

The existing literature on the role of underwriters has concentrated on underwriter certification, monitoring and marketing. However, these studies have apparently ignored the market timing role often ascribed to underwriters by practitioners. This study examines whether IPO timing is a function of the reputation of underwriters who have expertise in the financial market. In their advisory role...