Share Issuance Effects in the Cross-Section of Stock Returns
David P. Lancaster
Griffith University - Department of Accounting, Finance and Economics
Graham N. Bornholt
Griffith University - Department of Accounting, Finance and Economics; Financial Research Network (FIRN)
June 10, 2012
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, G14working papers series
Date posted: June 10, 2012
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