The Factor and Sustainability Characteristics of Share Issuance

16 Pages Posted: 2 Nov 2023

See all articles by David Blitz

David Blitz

Robeco Quantitative Investments

Date Written: October 5, 2023


This short article examines the factor and sustainability characteristics of newly issued shares. Unlike secondary market transactions, which are merely transfers of ownership between investors, issuance involves capital flows from investors to firms in need of fresh funding. We find that newly issued shares have factor characteristics generally associated with lower expected returns, in particular elevated risk, strong past asset growth, low profitability, and high valuations. In addition, the sustainability profile of issuers tends to be below-average, with lower ESG scores, and, in developed markets, lower SDG scores and higher carbon emissions. Our results imply that firms with unattractive factor or sustainability characteristics are well able to raise fresh equity capital.

Keywords: Factor investing, sustainable investing, quant investing, issuance, sustainability, ESG, cost of capital

JEL Classification: G11, G12, G14

Suggested Citation

Blitz, David, The Factor and Sustainability Characteristics of Share Issuance (October 5, 2023). Available at SSRN: or

David Blitz (Contact Author)

Robeco Quantitative Investments ( email )

Weena 850
Rotterdam, 3014 DA

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