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  • 2010
  • Other Unpublished Work

Share Issuance and Factor Timing

By: Robin Greenwood and Samuel Hanson
  • Format:Print
  • | Language:English
  • | Pages:52
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Abstract

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 following years when issuing firms are large relative to repurchasing firms. While our strongest results are for portfolios based on book-to-market, size (i.e., we forecast the HML and SMB factors), and industry, our approach is also useful for forecasting factor returns associated with distress, payout policy, and profitability.

Keywords

Forecasting and Prediction; Equity; Stocks; Stock Shares; Investment Return; Investment Portfolio; Price; Performance Evaluation

Citation

Greenwood, Robin, and Samuel Hanson. "Share Issuance and Factor Timing." December 2010. (Appendix. Previously titled "Characteristic Timing," NBER Working Paper Series, No. 15948.)
  • SSRN

About The Author

Robin Greenwood

Finance
→More Publications

More from the Authors

    • April 2022
    • Journal of Finance

    Predictable Financial Crises

    By: Robin Greenwood, Samuel G. Hanson, Andrei Shleifer and Jakob Ahm Sørensen
    • 2022
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    Stock Market Stimulus

    By: Robin Greenwood, Toomas Laarits and Jeffrey Wurgler
    • December 2021
    • Faculty Research

    Grace Capital

    By: Sara Fleiss, Robin Greenwood, Eren Kuzucu and Denise Han
More from the Authors
  • Predictable Financial Crises By: Robin Greenwood, Samuel G. Hanson, Andrei Shleifer and Jakob Ahm Sørensen
  • Stock Market Stimulus By: Robin Greenwood, Toomas Laarits and Jeffrey Wurgler
  • Grace Capital By: Sara Fleiss, Robin Greenwood, Eren Kuzucu and Denise Han
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