Net equity issuance effect in the UK |
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Authors: | Hang Zhou Maria Michou |
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Institution: | Accounting and Finance Group, University of Edinburgh Business School, Edinburgh, UK |
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Abstract: | Net equity issuance (NEI) by firms has predictive power for US stock returns. This paper examines the NEI anomaly for UK stocks, using regression on firm characteristics and sorted portfolios with several factor models. The anomaly generalises to the UK only in part. We confirm the existence of a large NEI effect for small and midsize stocks, but not for large stocks. The repurchase effect, of positive abnormal returns following repurchases, is absent in the UK. We also find that the NEI effect in smaller stocks is not exploitable by investors, allowing for transaction costs. |
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Keywords: | Net equity issuance net repurchases asset pricing anomalies factor models abnormal returns |
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