Style Evolution, Equity Issuance, and International Value Premium

46 Pages Posted: 10 Sep 2008 Last revised: 27 Jan 2013

See all articles by Akiko Watanabe

Akiko Watanabe

University of Alberta - School of Business; University of Alberta - Department of Finance and Statistical Analysis

Date Written: September 4, 2008

Abstract

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.

Keywords: Net Share Issuance, Value Premium, International Equity Markets

JEL Classification: G15

Suggested Citation

Watanabe, Akiko, Style Evolution, Equity Issuance, and International Value Premium (September 4, 2008). Available at SSRN: https://ssrn.com/abstract=1263890 or http://dx.doi.org/10.2139/ssrn.1263890

Akiko Watanabe (Contact Author)

University of Alberta - School of Business ( email )

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HOME PAGE: http://www.bus.ualberta.ca/awatanabe

University of Alberta - Department of Finance and Statistical Analysis ( email )

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Edmonton, Alberta T6G 2R6
Canada

HOME PAGE: http://www.bus.ualberta.ca/awatanabe

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