Style Evolution, Equity Issuance, and International Value Premium
University of Alberta - School of Business; University of Alberta - Department of Finance and Statistical Analysis
September 4, 2008
This paper studies how value-glamour style evolution, or the variation in firms' book-to-market ratios over time, helps explain the value premium in international markets. The style evolution reflects information about the firms' accounting-based performance, stock return, and net equity issuance. The net share issuance has the strongest ability to predict future cross-sectional returns in developed markets, whereas such an effect is absent in emerging markets. The global net issuance factor, given by a zero-investment portfolio that goes long net stock repurchasers and short net issuers from the developed markets, yields a significant premium of 4.68% per annum over the last quarter century. The exposure to the global issuance factor significantly explains the returns on global value and glamour portfolios.
Number of Pages in PDF File: 46
Keywords: Net Share Issuance, Value Premium, International Equity Markets
JEL Classification: G15working papers series
Date posted: September 10, 2008 ; Last revised: January 27, 2013
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