Shares Outstanding and Cross-Sectional Returns

38 Pages Posted: 24 Mar 2005

See all articles by Jeffrey Pontiff

Jeffrey Pontiff

Boston College - Department of Finance

Artemiza Woodgate

University of Washington - Department of Finance and Business Economics

Date Written: May 26, 2005

Abstract

Post-1970, the change in shares outstanding exhibits a strong cross-sectional ability to predict stock returns. This predictive ability is more statistically significant than the individual predictive ability of size, book-to-market, or momentum. Our finding is related to research that finds that long-run returns are associated with share repurchase announcements, seasoned equity offerings, and stock mergers, although our results remain strong even after exclusion of the data used in these studies. We also provide estimation of the share change relation pre-1970 and find no statistically significant predictive ability for most holding periods.

Keywords: Market efficiency, return predictability, capital structure

JEL Classification: G14, G32, G12

Suggested Citation

Pontiff, Jeffrey and Woodgate, Artemiza, Shares Outstanding and Cross-Sectional Returns (May 26, 2005). Available at SSRN: https://ssrn.com/abstract=679143 or http://dx.doi.org/10.2139/ssrn.679143

Jeffrey Pontiff (Contact Author)

Boston College - Department of Finance ( email )

Carroll School of Management
140 Commonwealth Avenue
Chestnut Hill, MA 02467-3808
United States

Artemiza Woodgate

University of Washington - Department of Finance and Business Economics ( email )

School of Business
Box 353200
Seattle, WA 98195
United States

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