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  • April 2012
  • Article
  • Journal of Finance

Share Issuance and Factor Timing

By: Robin Greenwood and Samuel G. Hanson
  • Format:Print
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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

Investment Portfolio; Stock Shares; Forecasting and Prediction; Investment Return; Policy; Profit

Citation

Greenwood, Robin, and Samuel G. Hanson. "Share Issuance and Factor Timing." Journal of Finance 67, no. 2 (April 2012): 761–798. (Internet Appendix Here.)
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About The Authors

Robin Greenwood

Finance
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Samuel G. Hanson

Finance
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More from the Authors

    • April 2022
    • Journal of Finance

    Predictable Financial Crises

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    • 2022
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    Stock Market Stimulus

    By: Robin Greenwood, Toomas Laarits and Jeffrey Wurgler
    • January 2022 (Revised January 2022)
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    The Impact Developers Fund

    By: Malcolm Baker, Samuel Gregory Hanson, Jonathan Wallen and Zach Komes
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
  • The Impact Developers Fund By: Malcolm Baker, Samuel Gregory Hanson, Jonathan Wallen and Zach Komes
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