Net equity issuance effect in the UK

Research output: Contribution to journalArticlepeer-review

Abstract

Net equity issuance (NEI) by firms has predictive power for US stock returns. This paper examines the NEI anomaly for UK stocks, using regression on firm characteristics and sorted portfolios with several factor models. The anomaly generalises to the UK only in part. We confirm the existence of a large NEI effect for small and midsize stocks, but not for large stocks. The repurchase effect, of positive abnormal returns following repurchases, is absent in the UK. We also find that the NEI effect in smaller stocks is not exploitable by investors, allowing for transaction costs.
Original languageEnglish
Number of pages20
JournalThe European Journal of Finance
Early online date12 Apr 2019
DOIs
Publication statusPublished - 13 Apr 2019

Keywords

  • Net equity issuance
  • net repurchases
  • asset pricing anomalies
  • factor models
  • abnormal returns
  • LONG-TERM PERFORMANCE
  • CROSS-SECTION
  • EARNINGS MANAGEMENT
  • SHARE ISSUANCE
  • LIQUIDITY RISK
  • RIGHTS ISSUES
  • STOCK
  • INVESTMENT
  • RETURNS
  • MARKET

Cite this