Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

Share Issuance and Factor Timing

ROBIN GREENWOOD and SAMUEL G. HANSON
The Journal of Finance
Vol. 67, No. 2 (APRIL 2012), pp. 761-798
Published by: Wiley for the American Finance Association
Stable URL: http://www.jstor.org/stable/41419710
Page Count: 38
  • Read Online (Free)
  • Download ($33.95)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Share Issuance and Factor Timing
Preview not available

Abstract

We show that characteristics of stock issuers can be used to forecast important common factors in stocks' returns such as those associated with book-to-market, size, and industry. Specifically, we use differences between the attributes of stock issuers and repurchasers to forecast characteristic-related factor returns. For example, we show that large firms underperform after years when issuing firms are large relative to repurchasing firms. While our strongest results are for portfolios based on bookto-market (i.e., HMD, size (i.e., SMB), and industry, our approach is also useful for forecasting factor returns associated with distress, payout policy, and profitability.

Page Thumbnails

  • Thumbnail: Page 
761
    761
  • Thumbnail: Page 
762
    762
  • Thumbnail: Page 
763
    763
  • Thumbnail: Page 
764
    764
  • Thumbnail: Page 
765
    765
  • Thumbnail: Page 
766
    766
  • Thumbnail: Page 
767
    767
  • Thumbnail: Page 
768
    768
  • Thumbnail: Page 
769
    769
  • Thumbnail: Page 
770
    770
  • Thumbnail: Page 
771
    771
  • Thumbnail: Page 
772
    772
  • Thumbnail: Page 
773
    773
  • Thumbnail: Page 
774
    774
  • Thumbnail: Page 
775
    775
  • Thumbnail: Page 
776
    776
  • Thumbnail: Page 
777
    777
  • Thumbnail: Page 
778
    778
  • Thumbnail: Page 
779
    779
  • Thumbnail: Page 
780
    780
  • Thumbnail: Page 
781
    781
  • Thumbnail: Page 
782
    782
  • Thumbnail: Page 
783
    783
  • Thumbnail: Page 
784
    784
  • Thumbnail: Page 
785
    785
  • Thumbnail: Page 
786
    786
  • Thumbnail: Page 
787
    787
  • Thumbnail: Page 
788
    788
  • Thumbnail: Page 
789
    789
  • Thumbnail: Page 
790
    790
  • Thumbnail: Page 
791
    791
  • Thumbnail: Page 
792
    792
  • Thumbnail: Page 
793
    793
  • Thumbnail: Page 
794
    794
  • Thumbnail: Page 
795
    795
  • Thumbnail: Page 
796
    796
  • Thumbnail: Page 
797
    797
  • Thumbnail: Page 
798
    798