Book-to-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns

29 Pages Posted: 1 Jun 2017 Last revised: 8 Jun 2019

Date Written: May 22, 2019

Abstract

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market—changes in book value, changes in price, and net share issues. This conclusion is supported using data representing North America, Europe, Japan, and Asia. Results are highly consistent across all global regions and hold for small and big market capitalization subsets as well as in different subperiods. Variables measured over the past twelve months are more relevant than variables measured over the past thirty-six months, demonstrating that recent news is more important than old news.

Keywords: Global return predictability, Cross-section of returns, Book-to-market, Net share issues

JEL Classification: F20, F21, F30, G10, G11, G12, G15

Suggested Citation

Blackburn, Douglas W. and Cakici, Nusret, Book-to-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns (May 22, 2019). Available at SSRN: https://ssrn.com/abstract=2977934 or http://dx.doi.org/10.2139/ssrn.2977934

Douglas W. Blackburn (Contact Author)

JP Morgan Chase ( email )

New York, NY
United States

Nusret Cakici

Fordham University ( email )

Fordham University
Graduate School of Business
New York, NY 10023
United States
2126366776 (Phone)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
161
Abstract Views
678
rank
197,780
PlumX Metrics