The Equity Share in New Issues and Aggregate Stock Returns

Malcolm Baker and Jeffrey Wurgler

Yale School of Management Working Papers from Yale School of Management

Abstract: The share of equity issues in total new equity and debt issues is a strong predictor of U.S. stock market returns between 1928 and 1997. In particular, firms issue relatively more equity than debt just before periods of low market returns. The equity share in new issues has stable predictive power in both halves of the sample period, and after controlling for other known predictors. We do not find support for efficient market ex

Date: 1999-08-01, Revised 2009-01-01
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