Share issuance and cross-sectional returns: International evidence

• 成果类型: Article
• 署名作者: McLean, R. David; Pontiff, Jeffrey; Watanabe, Akiko
• 署名单位: Boston College; University of Alberta
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.09.009
• 发表日期: 2009
• 页码: 1-17
• 关键词: international investment; Return predictability; share issuance; market efficiency; International return predictability; Raising capital; capital structure

摘要

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. (C) 2009 Elsevier B.V. All rights reserved.