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The Equity Share in New Issues and Aggregate Stock Returns

  • Malcolm Baker
  • Jeffrey Wurgler

The share of equity issues in total new equity and debt issues is a strong predictor of U.S. stock market returns between 1928 and 1997. In particular, firms issue relatively more equity than debt just before periods of low market returns. The equity share in new issues has stable predictive power in both halves of the sample period, and after controlling for other known predictors. We do not find support for efficient market ex

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Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm124.

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Date of creation: 01 Aug 1999
Date of revision: 01 Jan 2009
Handle: RePEc:ysm:somwrk:ysm124
Contact details of provider: Web page: http://icf.som.yale.edu/

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