Premium
Share Issuance and Cross‐sectional Returns
Author(s) -
PONTIFF JEFFREY,
WOODGATE ARTEMIZA
Publication year - 2008
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.2008.01335.x
Subject(s) - equity (law) , stock (firearms) , business , monetary economics , momentum (technical analysis) , econometrics , short interest ratio , shares outstanding , economics , financial economics , finance , biology , geography , corporate governance , context (archaeology) , shareholder , political science , law , paleontology , archaeology
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.