Characteristic timing
By: Robin Greenwood, Samuel Hanson
Contributors: Hanson, Samuel; National Bureau of Economic Research
Series: NBER working paper series -- working paper 15948; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 15948.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] /
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"--National Bureau of Economic Research web site.
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