Share issuance and cross-sectional returns: International evidence |
| |
Authors: | R David McLean Jeffrey Pontiff Akiko Watanabe |
| |
Institution: | 1. University of Alberta, School of Business, Edmonton, Alberta, Canada T6G 2R6;2. Boston College, Wallace E. Carroll School of Management, Chestnut Hill, MA 02467, USA |
| |
Abstract: | Share issuance predicts cross-sectional returns in a non-U.S. sample of stocks from 41 different countries. Issuance predictability has greater statistical significance than either size or momentum, and is similar to book-to-market. As in the U.S., the international issuance effect is robust across both small and large firms. Unlike the U.S., the effect is driven more by low returns after share creation rather than positive returns following share repurchases. Issuance return predictability is stronger in countries with greater issuance activity, greater stock market development, and stronger investor protection. The results suggest that the share issuance effect is related to the ease with which firms can issue and repurchase their shares. |
| |
Keywords: | G10 G14 G24 |
本文献已被 ScienceDirect 等数据库收录! |
|