MARC Record from harvard_bibliographic_metadata

LEADER: 01917nam a2200265Ka 4500
001 012032644-2
005 20110120153805.0
008 090528s2009 maua b 000|0 eng d
035 0 $aocn428434277
100 1 $aGreenwood, Robin$q(Robin Marc)
245 10 $aCatering to characteristics /$cRobin Greenwood and Samuel Hanson.
250 $a[Rev.]
260 $a[Boston] :$bHarvard Business School,$cc2009.
300 $a55 p. :$bill. ;$c28 cm.
490 1 $aWorking paper / Harvard Business School ;$v09-099
500 $a"Revised: June 2009 (First draft: November 2008)"--added t.p.
500 $a"March 2009"--Publisher's website.
500 $aOriginally published as: A corporate arbitrage approach to the cross-section of stock returns.
504 $aIncludes bibliographical references.
520 $aWhen investors overvalue a particular firm characteristic, corporations endowed with that characteristic can absorb some of the demand by issuing equity. We use time-series variation in differences between the attributes of stock issuers and repurchasers to shed light on characteristic-related mispricing. During years when issuing firms are large relative to repurchasing firms, for example, we show that large firms subsequently underperform. This holds true even when we restrict attention to the returns of firms that do not issue at all, suggesting that issuance is partly an attempt to cater to broad time-varying patterns in characteristics mispricing. Our approach helps forecast returns to portfolios based on book-to-market (HML), size (SMB), price, distress, payout policy, profitability, and industry. Our results are consistent with the view that firms play an important role as arbitrageurs in the stock market.
700 1 $aHanson, Samuel$q(Samuel Gregory)
710 2 $aHarvard Business School.
830 0 $aWorking paper (Harvard Business School) ;$v09-099.
988 $a20090710
906 $0MH