Composite equity issuance and the cross-section of country and industry returns

References

• Andreou, P. C., I. Cooper, I. G. de Olalla Lopez, and C. Louca. 2018. “Managerial Overconfidence and the Buyback Anomaly.” Journal of Empirical Finance 49: 142–156. doi:10.1016/j.jempfin.2018.09.005.
   Web of Science ®Google Scholar
• Angelidis, T., and N. Tessaromatis. 2017. “Global Equity Country Allocation: An Application of Factor Investing.” Financial Analysts Journal 73 (4): 55–73. doi:10.2469/faj.v73.n4.7.
   Web of Science ®Google Scholar
• Ang, A., R. J. Hodrick, Y. Xing, and X. Zhang. 2006. “The Cross‐section of Volatility and Expected Returns.” The Journal of Finance 61 (1): 259–299. doi:10.1111/j.1540-6261.2006.00836.x.
   Web of Science ®Google Scholar
• Asness, C. S., T. J. Moskowitz, and L. H. Pedersen. 2013. “Value and Momentum Everywhere.” The Journal of Finance 68 (3): 929–985. doi:10.1111/jofi.12021.
   Web of Science ®Google Scholar
• Baker, M., and J. Wurgler. 2000. “The Equity Share in New Issues and Aggregate Stock Returns.” The Journal of Finance 55 (5): 2219–2257. doi:10.1111/0022-1082.00285.
   Web of Science ®Google Scholar
• Baker, M., and J. Wurgler. 2006. “Investor Sentiment and the Cross‐section of Stock Returns.” The Journal of Finance 61 (4): 1645–1680. doi:10.1111/j.1540-6261.2006.00885.x.
   Web of Science ®Google Scholar
• Bali, T. G., and N. Cakici. 2010. “World Market Risk, Country-Specific Risk and Expected Returns in International Stock Markets.” Journal of Banking & Finance 34 (6): 1152–1165. doi:10.1016/j.jbankfin.2009.11.012.
   Web of Science ®Google Scholar
• Baltas, N., and G. Salinas. 2022. “Cross-asset skew.” Journal of Portfolio Management 48 (4): 194–219. doi:10.3905/jpm.2022.1.335.
   Web of Science ®Google Scholar
• Baltussen, G., L. Swinkels, and P. Van Vliet. 2021. “Global Factor Premiums.” Journal of Financial Economics 142 (3): 1128–1154. doi:10.1016/j.jfineco.2021.06.030.
   Web of Science ®Google Scholar
• Balvers, R. J., and Y. Wu. 2006. “Momentum and Mean Reversion Across National Equity Markets.” Journal of Empirical Finance 13 (1): 24–48. doi:10.1016/j.jempfin.2005.05.001.
   Google Scholar
• Balvers, R., Y. Wu, and E. Gilliland. 2000. “Mean Reversion Across National Stock Markets and Parametric Contrarian Investment Strategies.” The Journal of Finance 55 (2): 745–772. doi:10.1111/0022-1082.00225.
   Web of Science ®Google Scholar
• Berkman, H., and W. Yang. 2019. “Country-Level Analyst Recommendations and International Stock Market Returns.” Journal of Banking & Finance 103: 1–17. doi:10.1016/j.jbankfin.2019.03.018.
   Web of Science ®Google Scholar
• Bhojraj, S., and B. Swaminathan. 2006. “Macromomentum: Returns Predictability in International Equity Indices.” The Journal of Business 79 (1): 429–451. doi:10.1086/497416.
   Web of Science ®Google Scholar
• Boudoukh, J., R. Michaely, M. Richardson, and M. R. Roberts. 2007. “On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing.” The Journal of Finance 62 (2): 877–915. doi:10.1111/j.1540-6261.2007.01226.x.
   Web of Science ®Google Scholar
• Campbell, J. Y., and S. B. Thompson. 2008. “Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?” The Review of Financial Studies 21 (4): 1509–1531. doi:10.1093/rfs/hhm055.
   Web of Science ®Google Scholar
• Carhart, M. M. 1997. “On Persistence in Mutual Fund Performance.” The Journal of Finance 52 (1): 57–82. doi:10.1111/j.1540-6261.1997.tb03808.x.
   Web of Science ®Google Scholar
• Chan, K., D. Ikenberry, and I. Lee. 2004. “Economic Sources of Gain in Stock Repurchases.” The Journal of Financial and Quantitative Analysis 39 (3): 461–479. doi:10.1017/S0022109000003987.
   Web of Science ®Google Scholar
• Chen, A. Y., T. Zimmermann, and J. Pontiff. 2020. “Publication Bias and the Cross-Section of Stock Returns.” Review of Asset Pricing Studies 10 (2): 249–289. doi:10.1093/rapstu/raz011.
   Web of Science ®Google Scholar
• Chordia, T., A. Goyal, A. Saretto, and A. Karolyi. 2020. “Anomalies and False Rejections.” The Review of Financial Studies 33 (5): 2134–2179. doi:10.1093/rfs/hhaa018.
   Web of Science ®Google Scholar
• Clare, A., J. Seaton, P. N. Smith, and S. Thomas. 2016. “The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation.” Journal of Behavioral and Experimental Finance 9: 63–80. doi:10.1016/j.jbef.2016.01.002.
   Web of Science ®Google Scholar
• Connolly, R., and C. Stivers. 2003. “Momentum and Reversals in Equity‐index Returns During Periods of Abnormal Turnover and Return Dispersion.” The Journal of Finance 58 (4): 1521–1556. doi:10.1111/1540-6261.00576.
   Web of Science ®Google Scholar
• Cooper, M. J., H. Gulen, and M. J. Schill. 2008. “Asset Growth and the Cross‐section of Stock Returns.” The Journal of Finance 63 (4): 1609–1651. doi:10.1111/j.1540-6261.2008.01370.x.
   Web of Science ®Google Scholar
• Daniel, K., and S. Titman. 2006. “Market Reactions to Tangible and Intangible Information.” The Journal of Finance 61 (4): 1605–1643. doi:10.1111/j.1540-6261.2006.00884.x.
   Web of Science ®Google Scholar
• Daniel, K., and S. Titman. 2016. “Another Look at Market Responses to Tangible and Intangible Information.” Critical Finance Review 5 (1): 165–175. doi:10.1561/104.00000031.
   Google Scholar
• Dorn, D. 2009. “Does Sentiment Drive the Retail Demand for IPOs?” The Journal of Financial and Quantitative Analysis 44 (1): 85–108. doi:10.1017/S0022109009090024.
   Web of Science ®Google Scholar
• Durand, R. B., D. Lim, and J. K. Zumwalt. 2011. “Fear and the Fama‐french Factors.” Financial Management 40 (2): 409–426. doi:10.1111/j.1755-053X.2011.01147.x.
   Web of Science ®Google Scholar
• Eckbo, B. E., R. W. Masulis, and Ø. Norli. 2000. “Seasoned Public Offerings: Resolution of the ‘New Issues Puzzle’.” Journal of Financial Economics 56 (2): 251–291. doi:10.1016/S0304-405X(00)00041-6.
   Web of Science ®Google Scholar
• Ellahie, A., M. Katz, and S. A. Richardson. 2020. “Risky Value.” Available at SSRN 2325524.
   Google Scholar
• Fama, E. F., and K. R. French. 1992. “The Cross‐section of Expected Stock Returns.” The Journal of Finance 47 (2): 427–465. doi:10.1111/j.1540-6261.1992.tb04398.x.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33 (1): 3–56. doi:10.1016/0304-405X(93)90023-5.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 2012. “Size, Value, and Momentum in International Stock Returns.” Journal of Financial Economics 105 (3): 457–472. doi:10.1016/j.jfineco.2012.05.011.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 2015. “A Five-Factor Asset Pricing Model.” Journal of Financial Economics 116 (1): 1–22. doi:10.1016/j.jfineco.2014.10.010.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 2017. “International Tests of a Five-Factor Asset Pricing Model.” Journal of Financial Economics 123 (3): 441–463. doi:10.1016/j.jfineco.2016.11.004.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 2018. “Choosing Factors.” Journal of Financial Economics 128 (2): 234–252.
   Web of Science ®Google Scholar
• Fama, E. F., and J. D. MacBeth. 1973. “Risk, Return, and Equilibrium: Empirical Tests.” The Journal of Political Economy 81 (3): 607–636. doi:10.1086/260061.
   Web of Science ®Google Scholar
• Fisher, G. S., R. Shah, and S. Titman. 2017. “Should You Tilt Your Equity Portfolio to Smaller Countries?” Journal of Portfolio Management 44 (1): 127–141. doi:10.3905/jpm.2017.44.1.127.
   Web of Science ®Google Scholar
• Frazzini, A., and L. H. Pedersen. 2014. “Betting Against Beta.” Journal of Financial Economics 111 (1): 1–25. doi:10.1016/j.jfineco.2013.10.005.
   Web of Science ®Google Scholar
• Goyal, A., I. Welch, and A. Zafirov. 2021. “A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II.” Available at SSRN 3929119. doi:10.2139/ssrn.3929119.
   Google Scholar
• Harvey, C. R. 2000. “The Drivers of Expected Returns in International Markets.” Available at SSRN 795385. doi:10.2139/ssrn.795385.
   Google Scholar
• Harvey, C. R., and Y. Liu. 2020. “False (And Missed) Discoveries in Financial Economics.” The Journal of Finance 75 (5): 2503–2553. doi:10.1111/jofi.12951.
   Web of Science ®Google Scholar
• Harvey, C. R., Y. Liu, and H. Zhu. 2016. “… and the Cross-Section of Expected Returns.” The Review of Financial Studies 29 (1): 5–68. doi:10.1093/rfs/hhv059.
   Web of Science ®Google Scholar
• Haug, M., and M. Hirschey. 2006. “The January Effect.” Financial Analysts Journal 62 (5): 78–88. doi:10.2469/faj.v62.n5.4284.
   Web of Science ®Google Scholar
• Hou, K., C. Xue, and L. Zhang. 2015. “Digesting Anomalies: An Investment Approach.” The Review of Financial Studies 28 (3): 650–705. doi:10.1093/rfs/hhu068.
   Web of Science ®Google Scholar
• Ilmanen, A., R. Israel, R. Lee, T. Moskowitz, and A. Thapar. 2021. “How Do Factor Premia Vary Over Time? A Century of Evidence.” Journal of Investment Management 19 (4): 15–57.
   Web of Science ®Google Scholar
• Jacobs, H. 2015. “What Explains the Dynamics of 100 Anomalies?” Journal of Banking & Finance 57: 65–85. doi:10.1016/j.jbankfin.2015.03.006.
   Web of Science ®Google Scholar
• Jacobs, H. 2016. “Market Maturity and Mispricing.” Journal of Financial Economics 122 (2): 270–287. doi:10.1016/j.jfineco.2016.01.030.
   Web of Science ®Google Scholar
• Jensen, T. I., B. T. Kelly, and L. H. Pedersen. 2022. “Is There a Replication Crisis in Finance?” The Journal of Finance in press.
   PubMed Web of Science ®Google Scholar
• Keloharju, M., J. T. Linnainmaa, and P. Nyberg. 2016. “Return Seasonalities.” The Journal of Finance 71 (4): 1557–1590. doi:10.1111/jofi.12398.
   Web of Science ®Google Scholar
• Keppler, A. M., and H. D. Traub. 1993. “The Small-Country Effect: Small Markets Beat Large Markets.” Journal of Investing 2 (3): 17–24. doi:10.3905/joi.2.3.17.
   Google Scholar
• Kim, D. 2012. “Value Premium Across Countries.” The Journal of Portfolio Management 38 (4): 75–86. doi:10.3905/jpm.2012.38.4.075.
   Web of Science ®Google Scholar
• Kolev, G. I., and R. Karapandza. 2017. “Out-Of-Sample Equity Premium Predictability and Sample Split–Invariant Inference.” Journal of Banking & Finance 84: 188–201. doi:10.1016/j.jbankfin.2016.07.017.
   Web of Science ®Google Scholar
• Lee, C. M., A. Shleifer, and R. H. Thaler. 1991. “Investor Sentiment and the Closed‐end Fund Puzzle.” The Journal of Finance 46 (1): 75–109. doi:10.1111/j.1540-6261.1991.tb03746.x.
   Web of Science ®Google Scholar
• Loughran, T., and J. R. Ritter. 1995. “The New Issues Puzzle.” The Journal of Finance 50 (1): 23–51. doi:10.1111/j.1540-6261.1995.tb05166.x.
   Web of Science ®Google Scholar
• Lowry, M. 2003. “Why Does IPO Volume Fluctuate so Much?” Journal of Financial Economics 67 (1): 3–40. doi:10.1016/S0304-405X(02)00230-1.
   Web of Science ®Google Scholar
• Lu, X., R. F. Stambaugh, and Y. Yuan. 2018. “Anomalies Abroad: Beyond Data Mining.” Available at SSRN 3012923.
   Google Scholar
• Lyandres, E., L. Sun, and L. Zhang. 2008. “The New Issues Puzzle: Testing the Investment-Based Explanation.” The Review of Financial Studies 21 (6): 2825–2855. doi:10.1093/rfs/hhm058.
   Web of Science ®Google Scholar
• Malin, M., and G. Bornholt. 2013. “Long-Term Return Reversal: Evidence from International Market Indices.” Journal of International Financial Markets, Institutions and Money 25: 1–17. doi:10.1016/j.intfin.2013.01.002.
   Web of Science ®Google Scholar
• McLean, R. D., J. Pontiff, and A. Watanabe. 2009. “Share Issuance and Cross-Sectional Returns: International Evidence.” Journal of Financial Economics 94 (1): 1–17. doi:10.1016/j.jfineco.2008.09.009.
   Web of Science ®Google Scholar
• Moskowitz, T. J., and M. Grinblatt. 1999. “Do Industries Explain Momentum?” The Journal of Finance 54 (4): 1249–1290. doi:10.1111/0022-1082.00146.
   Web of Science ®Google Scholar
• Moskowitz, T. J., Y. H. Ooi, and L. H. Pedersen. 2012. “Time Series Momentum.” Journal of Financial Economics 104 (2): 228–250. doi:10.1016/j.jfineco.2011.11.003.
   Web of Science ®Google Scholar
• Nagel, S. 2012. “Evaporating Liquidity.” The Review of Financial Studies 25 (7): 2005–2039. doi:10.1093/rfs/hhs066.
   Web of Science ®Google Scholar
• Newey, W. K., and K. D. West. 1987. “A Simple, Positive Semi-Definitive, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55 (3): 703–708. doi:10.2307/1913610.
   Web of Science ®Google Scholar
• Peltomäki, J., and J. Äijö. 2015. “Cross-Sectional Anomalies and Volatility Risk in Different Economic and Market Cycles.” Finance Research Letters 12: 17–22. doi:10.1016/j.frl.2014.12.004.
   Web of Science ®Google Scholar
• Peyer, U., and T. Vermaelen. 2009. “The Nature and Persistence of Buyback Anomalies.” The Review of Financial Studies 22 (4): 1693–1745. doi:10.1093/rfs/hhn024.
   Web of Science ®Google Scholar
• Pontiff, J., and A. Woodgate. 2008. “Share Issuance and Cross‐sectional Returns.” The Journal of Finance 63 (2): 921–945. doi:10.1111/j.1540-6261.2008.01335.x.
   Web of Science ®Google Scholar
• Spiess, D. K., and J. Affleck-Graves. 1995. “Underperformance in Long-Run Stock Returns Following Seasoned Equity Offerings.” Journal of Financial Economics 38 (3): 243–267. doi:10.1016/0304-405X(94)00817-K.
   Web of Science ®Google Scholar
• Stambaugh, R. F., and Y. Yuan. 2017. “Mispricing Factors.” The Review of Financial Studies 30 (4): 1270–1315. doi:10.1093/rfs/hhw107.
   Web of Science ®Google Scholar
• Stambaugh, R. F., J. Yu, and Y. Yuan. 2012. “The Short of It: Investor Sentiment and Anomalies.” Journal of Financial Economics 104 (2): 288–302. doi:10.1016/j.jfineco.2011.12.001.
   Web of Science ®Google Scholar
• Stambaugh, R. F., J. Yu, and Y. Yuan. 2014. “The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns.” Journal of Financial Economics 114 (3): 613–619. doi:10.1016/j.jfineco.2014.07.008.
   Web of Science ®Google Scholar
• Stambaugh, R. F., J. Yu, and Y. Yuan. 2015. “Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle.” The Journal of Finance 70 (5): 1903–1948. doi:10.1111/jofi.12286.
   Web of Science ®Google Scholar
• Umutlu, M. 2015. “Idiosyncratic Volatility and Expected Returns at the Global Level.” Financial Analysts Journal 71 (6): 58–71. doi:10.2469/faj.v71.n6.5.
   Web of Science ®Google Scholar
• Umutlu, M. 2019. “Does Idiosyncratic Volatility Matter at the Global Level?” The North American Journal of Economics and Finance 47: 252–268. doi:10.1016/j.najef.2018.12.015.
   Web of Science ®Google Scholar
• Umutlu, M., and P. Bengitoz. 2021. “Return Range and the Cross-Section of Expected Index Returns in International Stock Markets.” Quantitative Finance and Economics 5 (3): 421–451. doi:10.3934/QFE.2021019.
   Web of Science ®Google Scholar
• Umutlu, M., and P. Bengitöz. 2020. “The Cross-Section of Industry Equity Returns and Global Tactical Asset Allocation Across Regions and Industries.” International Review of Financial Analysis 72: 101574. doi:10.1016/j.irfa.2020.101574.
   Web of Science ®Google Scholar
• Vermaelen, T. 1981. “Common Stock Repurchases and Market Signalling: An Empirical Study.” Journal of Financial Economics 9 (2): 139–183. doi:10.1016/0304-405X(81)90011-8.
   Web of Science ®Google Scholar
• Walkshäusl, C., and S. Lobe. 2014. “A Reexamination of the Issuance and Investment Anomalies in International Markets.” Schmalenbach Business Review 66 (3): 245–275. doi:10.1007/BF03396907.
   Google Scholar
• Wang, K. Q., and J. Xu. 2015. “Market Volatility and Momentum.” Journal of Empirical Finance 30: 79–91. doi:10.1016/j.jempfin.2014.11.009.
   Web of Science ®Google Scholar
• Welch, I., and A. Goyal. 2008. “A Comprehensive Look at the Empirical Performance of Equity Premium Prediction.” The Review of Financial Studies 21 (4): 1455–1508. doi:10.1093/rfs/hhm014.
   Web of Science ®Google Scholar
• Yao, Y. 2012. “Momentum, Contrarian, and the January Seasonality.” Journal of Banking & Finance 36 (10): 2757–2769. doi:10.1016/j.jbankfin.2011.12.004.
   Web of Science ®Google Scholar
• Zaremba, A., H. Long, and A. Karathanasopoulos. 2019. “Short-Term Momentum (Almost) Everywhere.” Journal of International Financial Markets, Institutions and Money 63: 101140. doi:10.1016/j.intfin.2019.101140.
   Web of Science ®Google Scholar
• Zaremba, A., and S. Okoń. 2016. “Share Issuance and Expected Returns Around the World.” Journal of Investing 25 (4): 97–107. doi:10.3905/joi.2016.25.4.097.
   Web of Science ®Google Scholar
• Zaremba, A., and M. Umutlu. 2018. “Size Matters Everywhere: Decomposing the Small Country and Small Industry Premia.” The North American Journal of Economics and Finance 43: 1–18. doi:10.1016/j.najef.2017.09.002.
   Web of Science ®Google Scholar
• Zhou, H., S. Armitage, and M. Michou. 2019. “Net Equity Issuance Effect in the UK.” European Journal of Finance 25 (15): 1420–1439. doi:10.1080/1351847X.2019.1601119.
   Web of Science ®Google Scholar