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Share issuance and cross-sectional returns: International evidence

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  • David McLean, R.
  • Pontiff, Jeffrey
  • Watanabe, Akiko

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.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 94 (2009)
Issue (Month): 1 (October)
Pages: 1-17

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Handle: RePEc:eee:jfinec:v:94:y:2009:i:1:p:1-17

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Web page: http://www.elsevier.com/locate/inca/505576

Related research

Keywords: International investment Return predictability Share issuance Market efficiency International return predictability Raising capital Capital structure;

References

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Citations

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Cited by:
  1. Ammann, Manuel & Odoni, Sandro & Oesch, David, 2012. "An alternative three-factor model for international markets: Evidence from the European Monetary Union," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1857-1864.
  2. Larrain, Borja & Urzúa I., Francisco, 2013. "Controlling shareholders and market timing in share issuance," Journal of Financial Economics, Elsevier, Elsevier, vol. 109(3), pages 661-681.
  3. Massimo Massa & Theo Vermaelen & Moqi Xu, 2013. "Rights offerings, trading, and regulation: a global perspective," LSE Research Online Documents on Economics 55403, London School of Economics and Political Science, LSE Library.
  4. Seifert, Bruce & Gonenc, Halit, 2012. "Issuing and repurchasing: The influence of mispricing, corporate life cycle and financing waves," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 22(3), pages 66-81.
  5. Su Chan & Jiajin Chen & Ko Wang, 2013. "Are REIT IPOs Unique? The Global Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 719-759, November.
  6. Watanabe, Akiko & Xu, Yan & Yao, Tong & Yu, Tong, 2013. "The asset growth effect: Insights from international equity markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 108(2), pages 529-563.
  7. David McLean, R., 2011. "Share issuance and cash savings," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(3), pages 693-715, March.
  8. Lee, Kuan-Hui, 2011. "The world price of liquidity risk," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(1), pages 136-161, January.
  9. Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.
  10. Massimo Massa & Theo Vermaelen & Moqi Xu, 2013. "Rights offerings, trading, and regulation: A global perspective," FMG Discussion Papers, Financial Markets Group dp727, Financial Markets Group.

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