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 language | English |
---|---|
Number of pages | 20 |
Journal | The European Journal of Finance |
Early online date | 12 Apr 2019 |
DOIs | |
Publication status | Published - 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
Profiles
-
Maria Michou
- Business School - Senior Lecturer in Finance
- Accounting and Finance
Person: Academic: Research Active