Changes in shares outstanding and country stock returns around the world

Title: Changes in shares outstanding and country stock returns around the world
Creator: Long, Huaigang; Chiah, Mardy; Zaremba, Adam; Umar, Zaghum
Relation: Journal of International Financial Markets, Institutions and Money Vol. 90, Issue January 2024, no. 101883
Publisher Link: http://dx.doi.org/10.1016/j.intfin.2023.101883
Publisher: Elsevier
Resource Type: journal article
Date: 2024
Description: Motivated by stock-level evidence of the issuance anomalies, we examine whether a similar effect drives the cross-section of country stock returns. To this end, we investigate six decades of data from 67 markets. The changes in aggregate shares outstanding negatively predict future country equity returns. The quintile of markets with the highest share increase underperforms their low-issuance counterparts by 0.85 % per month. The effect is distinctly robust and cannot be subsumed by known risk factors. The observed pattern complies with the mispricing interpretation, and high arbitrage constraints augment its magnitude. Finally, the issuance premium may be harvested with exchange-traded funds, paving the way for a viable country selection strategy.
Subject: shares outstanding; equity issuance; international stock markets; equity anomalies; country equity returns; the cross-section of stock returns
Identifier: http://hdl.handle.net/1959.13/1501003
Identifier: uon:55054
Identifier: ISSN:1042-4431
Language: eng
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