Characteristic timing
By: Robin Greenwood and Samuel Hanson
Contributors: Hanson, Samuel (Samuel Gregory); Harvard Business School
Edition: 2nd rev.
Series: Working paper / Harvard Business School -- 09-099; Working paper (Harvard Business School) -- 09-099.
Publisher: Harvard Business School
Published: 2009
Place of publication: [Boston]
Language: eng
Number of pages: 55
Description: 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.
Notes: "Revised: Feb. 2010 (First draft: November 2008)"--added t.p.

"March 2009, revised June 2009, February 2010"--Publisher's website.

Originally published as: A corporate arbitrage approach to the cross-section of stock returns; rev. ed. title: Catering to characteristics.

Includes bibliographical references.