Exploiting the persistence in managerial market timing

Authors

Shingo Goto, University of Rhode Island
Vitali Kalesnik, Limited

Document Type

Article

Date of Original Version

1-1-2021

Abstract

Some firms time their share issuances/repurchases using their private information while others do not. We identify successful timers by comparing a cash-flow-based measure of net share issuance (NSI) with a share-based measure. Recent successful timers—only a small fraction (23%)—drive the known return predictability of NSI in the following year. The evidence suggests that the stock market underreacts to the persistence of managerial market-timing, providing significant opportunities for investors to mimic successful market-timing in their investment strategies. A value-weighted NSI hedge portfolio formed only on recent successful timers earns a six-factor alpha of 11.8% a year after transaction costs.

Publication Title, e.g., Journal

Finance Research Letters

Citation/Publisher Attribution

Goto, Shingo, and Vitali Kalesnik. "Exploiting the persistence in managerial market timing." Finance Research Letters (2021). doi: 10.1016/j.frl.2021.102377.