Share Issuance and Cross‐sectional Returns
研究发现1970年后股票发行量能显著预测个股收益，其预测能力超过市值、账面市值比和动量因子，但1970年前无此效果。
ABSTRACT Post‐1970, share issuance exhibits a strong cross‐sectional ability to predict stock returns. This predictive ability is more statistically significant than the individual predictive ability of size, book‐to‐market, or momentum. Our finding is related to research that finds that long‐run returns are associated with share repurchase announcements, seasoned equity offerings, and stock mergers, although our results remain strong even after exclusion of the data used in these studies. We estimate the issuance relation pre‐1970 and find no statistically significant predictive ability for most holding periods.