Share Issuance and Cross-Sectional Returns: International Evidence
48 Pages Posted: 22 Aug 2007 Last revised: 27 Jan 2013
Date Written: July 7, 2008
Abstract
Share issuance predicts cross-sectional returns in a non-U.S. sample of stocks from 41 different countries. Issuance predictability has greater statistical significance than either size, or momentum, and is similar to book-to-market. As in the U.S., the international issuance effect is robust across both small and large firms. Unlike the U.S., the effect is driven more by low returns after share creation rather than positive returns following share repurchases. Issuance return predictability is stronger in countries with greater issuance activity, greater stock market development, and stronger investor protection. The results suggest that the share issuance effect is related to the ease with which firms can issue and repurchase their shares.
Keywords: Return Predictability, Market Efficiency, International Asset Pricing, Corporate Finance
JEL Classification: G10, G30, F30
Suggested Citation: Suggested Citation
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