Characteristic Timing

Robin Greenwood and Samuel Hanson

No 15948, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We use differences between the attributes of stock issuers and repurchasers to forecast characteristic-related stock returns. For example, we show that large firms underperform following years when issuing firms are large relative to repurchasing firms. Our approach is useful for forecasting returns to portfolios based on book-to-market (HML), size (SMB), price, distress, payout policy, profitability, and industry. We consider interpretations of these results based on both time-varying risk premia and mispricing. Our results are primarily consistent with the view that firms issue and repurchase shares to exploit time-varying characteristic mispricing.

JEL-codes: G14 G3 G32 (search for similar items in EconPapers)
Date: 2010-04
New Economics Papers: this item is included in nep-for and nep-rmg
Note: AP CF
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Published as Greenwood, Robin, and Samuel G. Hanson. "Share Issuance and Factor Timing." Journal of Finance 67, no. 2 (April 2012): 761–798.

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