r. david mclean, jeffrey pontiff and akiko watanabe - Center for ...

Table 6: Equal-Weighted Fama-MacBeth Regressions of Holding Period Returns on
Annual Share Issuance Rankings and Other Firm Characteristics
This table reports the results of Fama-MacBeth regressions with country dummies. The regressions
are estimated with equal-weights, value-weights, and value-weights scaled by the average market
value within the firm’s country. Holding period returns, measured over the first month and first year,
are regressed on the natural logarithm of the June-end market value (ME), the natural logarithm of the
previous year’s fiscal year-end book-to-market ratio (BM), the past six-month stock return (MOM),
and annual-issuance (ISSUE) rank dummies. If book value of equity is either missing or negative, then
we assign both BM and BM-Dum values of zero. Otherwise, BM-Dum receives a value of one. ISSUE
is the real change in the number of shares outstanding adjusted computed over month t-12 to t:
ISSUEt,t-12 = Ln(Adjusted Sharest) – Ln(Adjusted Sharest-12). Each month, we follow Fama and French
(2007) and use all but the smallest quintile stocks to determine our portfolio breakpoints. The smallest
stocks are included in the portfolios. We sort stocks with negative issuance into two portfolios; NEG1
is a portfolio for stocks below the negative issuance median and NEG2 is for stocks above the
negative issuance median. We sort stocks with positive issuance into five quintiles (POS1-POS5);
POS1 is for stocks in the lowest positive issuance quintile and POS5 is for stocks in the highest
issuance quintile. An ISSUE rank dummy variable is assigned a value of one if the firm is in the
portfolio, and zero otherwise. The coefficients and adjusted R 2 s are in percentages and are given by
the time-series averages of the corresponding statistics obtained from the monthly cross-sectional
regressions. t-statistics, corrected for overlapping holding periods, are reported in parentheses.
Coefficients with a 10% significance level or higher are bolded. The sample is drawn from 41
countries, covers a period between July 1981 and June 2006, and consists of 2,819,906 total firmmonth
observations. Panel A reports results for the entire sample, while Panel B excludes
observations for which buybacks were either illegal or unattractive from either a tax or other
regulatory perspective.
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