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Share Issuance and Cross‐sectional Returns

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  • JEFFREY PONTIFF
  • ARTEMIZA WOODGATE

Abstract

Post‐1970, share issuance 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 estimate the issuance relation pre‐1970 and find no statistically significant predictive ability for most holding periods.

Suggested Citation

  • Jeffrey Pontiff & Artemiza Woodgate, 2008. "Share Issuance and Cross‐sectional Returns," Journal of Finance, American Finance Association, vol. 63(2), pages 921-945, April.
  • Handle: RePEc:bla:jfinan:v:63:y:2008:i:2:p:921-945
    DOI: 10.1111/j.1540-6261.2008.01335.x
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