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Share Issuance Effects in the Cross-Section of Stock ReturnsDavid P. LancasterGriffith University - Department of Accounting, Finance and Economics Graham N. BornholtGriffith University - Department of Accounting, Finance and Economics; Financial Research Network (FIRN) June 10, 2012 Abstract: Previous research describes the net share issuance anomaly in U.S. stocks as pervasive, both in size-based sorts and in cross-section regressions. As a further test of its pervasiveness, this paper undertakes an in-depth study of share issuance effects in the Australian equity market. The anomaly is observed in all size stocks except micro stocks. For example, equal weighted portfolios of non-issuing big stocks outperform portfolios of high issuing big stocks by an average of 0.84% per month over 1990–2009. This outperformance survives risk adjustment and appears to subsume the asset growth effect in Australian stock returns.
Number of Pages in PDF File: 28 Keywords: share issuance, asset pricing, cross-sectional return, asset growth, mispricing JEL Classification: G10, G11, G12, G14 working papers seriesDate posted: June 10, 2012Suggested CitationContact Information
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