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Share Issuance and Factor Timing
Author(s) -
GREENWOOD ROBIN,
HANSON SAMUEL G.
Publication year - 2012
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.1540-6261.2012.01730.x
Subject(s) - issuer , profitability index , stock (firearms) , market timing , business , financial distress , econometrics , financial economics , monetary economics , economics , initial public offering , finance , financial system , engineering , mechanical engineering
We show that characteristics of stock issuers can be used to forecast important common factors in stocks' returns such as those associated with book‐to‐market, size, and industry. Specifically, we use differences between the attributes of stock issuers and repurchasers to forecast characteristic‐related factor returns. For example, we show that large firms underperform after years when issuing firms are large relative to repurchasing firms. While our strongest results are for portfolios based on book‐to‐market (i.e., HML ), size (i.e., SMB ), and industry, our approach is also useful for forecasting factor returns associated with distress, payout policy, and profitability.