Evidence of excess returns on firms that issue or repurchase equity

William R. Nelson

No 1999-06, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Between 1927 and 1992, portfolios of the stock of the 5 percent of firms with the lowest annual growth in shares outstanding (generally a reduction in shares outstanding) posted returns over the subsequent five years that averaged 12 percentage points more per year than the returns to portfolios of the 5 percent of firms with the highest annual growth in shares. The difference in returns is greater in more recent years and was positive for all of the final 33 years of the sample. The difference is apparent for portfolios of firms of all sizes and industries. The market beta of the returns to the portfolios of repurchasers exceeds only slightly that of the returns to the portfolios of issuers, insufficiently to account for more than a small part of the difference in average returns.

Keywords: Stock - Prices; Stocks (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (2)

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