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Panel A: Issuance Activity and Market Development Variables 1-Month Issue Coefficient % Nonzero Issuance Liquidity Turnover 41 Short Selling Allowed? Log GDP Buybacks Country per capita Allowed? Argentina 0.24 5.83 14.42 8.95 Full 1999 Australia -1.03 0.61 45.16 48.16 9.89 1996 Before 1990 Austria 0.14 6.71 49.52 10.05 2000 Before 1990 Belgium 1.00 0.18 16.83 24.68 10.02 2000 Before 1990 Brazil 0.48 0.24 18.29 61.14 8.14 Full Before 1990 Canada -0.60 0.65 57.86 65.64 10.05 Full Before 1990 Chile 2.26 0.11 9.14 10.00 8.44 Full Before 1990 China 0.59 0.33 9.14 10.00 8.44 Not Allowed Czech Republic 0.06 Before 1990 Denmark -0.76 0.22 36.27 64.23 10.31 2001 Before 1990 Egypt 0.08 7.76 32.81 7.28 Finland -0.95 0.36 70.97 51.34 10.06 1998 1998 France -0.81 0.40 44.90 63.82 9.99 1999 Before 1990 Germany -1.23 0.20 37.80 118.46 10.03 1999 Before 1990 Greece -0.42 0.29 60.84 78.79 9.27 Full Not Allowed Hong Kong -0.84 0.53 179.05 64.94 10.10 1992 1996 India 0.22 0.26 54.65 63.72 6.16 2000 Indonesia 0.28 0.26 13.78 65.20 6.59 Not Allowed Ireland 0.70 30.79 59.96 10.14 Full Before 1990 Italy -0.57 0.38 36.58 80.08 9.84 Full Before 1990 Japan 0.51 0.42 35.50 49.40 10.54 1996 Before 1990 Malaysia 0.40 0.35 98.54 50.77 8.25 1998 1995 to 1997 Mexico -0.53 0.45 9.89 34.42 8.67 Before 1990 Netherlands -1.43 0.45 113.49 95.36 10.06 2002 Before 1990 New Zealand 0.53 17.82 42.68 9.48 2000 1992 Norway -0.57 0.44 30.15 79.64 10.49 2000 1992 Pakistan -1.01 0.22 26.50 220.97 6.10 Full Not Allowed Peru -3.83 0.38 5.19 21.65 7.64 Not Allowed Philippines -0.23 0.28 21.45 39.52 6.83 1998 Poland 0.01 0.17 1998 2000 Portugal 0.16 30.98 68.18 9.27 Before 1990 Singapore -0.78 0.42 79.15 49.62 10.05 1999 Not Allowed South Africa -1.59 0.40 41.77 27.74 7.98 2001 Before 1990 South Korea -0.87 0.38 110.16 204.92 9.18 Full Not Allowed Spain 0.01 0.37 107.98 174.82 9.56 Full 1992 Sweden -0.78 0.40 92.22 78.08 10.15 2001 1991 Switzerland -0.31 0.25 206.27 91.22 10.41 1998 Before 1990 Taiwan 0.06 0.72 320.69 314.74 9.54 2001 Before 1990 Thailand 0.50 0.45 22.55 62.51 7.58 2002 1997 Turkey -2.31 0.49 43.68 148.00 8.02 Full Before 1990 UK -1.19 0.55 83.02 50.62 10.08 1981 Before 1990 US -2.06 0.87 178.88 125.30 10.46 1982 Before 1990
Country Panel B: Governance Variables 1-Year Issue Coefficient Law Accounting Criminal Liability Protect 42 Earnings Management Score Argentina Civil 45 0.17 0.22 0.479 Australia -10.20 Common 75 0.83 0.66 0.784 4.8 Austria Civil 54 0.50 0.11 0.104 28.3 Belgium 10.48 Civil 61 0.50 0.44 0.068 19.5 Brazil 1.55 Civil 54 0.33 0.33 0.442 Canada -3.22 Common 74 0.83 1.00 0.959 5.3 Chile 21.31 Civil 52 0.50 0.33 0.610 China 34.68 Civil Czech Republic Civil Denmark -15.66 Civil 62 0.00 0.55 0.363 16.0 Egypt Civil 24 0.42 0.22 0.202 Finland 28.63 Civil 77 0.50 0.66 0.465 12.0 France -7.76 Civil 69 0.33 0.22 0.473 13.5 Germany -6.88 Civil 62 0.50 0.00 0.000 21.5 Greece -9.23 Civil 55 0.50 0.50 0.319 28.3 Hong Kong -11.13 Common 69 1.00 0.66 0.851 19.5 India 0.26 Common 57 0.83 0.66 0.769 19.1 Indonesia 4.63 Civil 0.50 0.66 0.507 18.3 Ireland Common 0.83 0.44 0.478 5.1 Italy -14.37 Civil 62 0.50 0.22 0.197 24.8 Japan 7.82 Civil 65 0.00 0.66 0.420 20.5 Malaysia 3.31 Common 76 1.00 0.66 0.730 14.8 Mexico -6.62 Civil 60 0.50 0.11 0.100 Netherlands -18.99 Civil 64 0.50 0.89 0.540 16.5 New Zealand 0.00 Common 70 0.33 0.44 0.460 Norway -3.69 Civil 74 1.00 0.39 0.440 5.8 Pakistan -18.58 Common 0.08 0.39 0.630 17.8 Peru -72.05 Civil 38 0.50 0.66 0.660 Philippines -10.16 Civil 65 0.50 1.00 0.810 8.8 Poland -2.07 Civil Portugal Civil 36 0.00 0.66 0.570 25.1 Singapore -14.42 Common 78 1.00 0.66 0.770 21.6 South Africa -7.98 Common 70 0.42 0.66 0.600 5.6 South Korea -7.93 Civil 62 0.33 0.66 0.360 26.8 Spain 5.64 Civil 64 0.50 0.66 0.550 18.6 Sweden -5.08 Civil 83 0.58 0.28 0.390 6.8 Switzerland -1.09 Civil 38 0.33 0.44 0.300 22.0 Taiwan -7.31 Civil 65 0.83 0.66 0.550 22.5 Thailand 11.18 Common 64 0.58 0.22 0.370 18.3 Turkey -20.16 Civil 51 0.50 0.22 0.338 UK -10.40 Common 78 0.42 0.78 0.770 7.0 US -16.40 Common 71 0.50 1.00 1.000 2.0
Page 1 and 2: Share Issuance and Cross-Sectional
Page 3 and 4: there is a significant issuance eff
Page 5 and 6: correlation to stock returns in an
Page 7 and 8: We use Adjusted Shares to construct
Page 9 and 10: sample. This investigation is motiv
Page 11 and 12: 2.3. Share Issuance and Future Retu
Page 13 and 14: the regressions. They are also grea
Page 15 and 16: actual issuance activity, whereas t
Page 17 and 18: 3.3. Positive and Negative Share Is
Page 19 and 20: and we would also expect these tran
Page 21 and 22: contain firms that more actively is
Page 23 and 24: et al. (2006), who show that countr
Page 25 and 26: ISSUE coefficient is -0.70. Taken t
Page 27 and 28: (2006) show that better governed co
Page 29 and 30: References Baker, Malcolm, and Jeff
Page 31 and 32: Table 1: Summary Statistics for Sam
Page 33 and 34: Table 2: Aggregate Summary Statisti
Page 35 and 36: Table 4: Fama-MacBeth Regressions o
Page 37 and 38: Table 5: Summary Statistics for Por
Page 39 and 40: Panel A Regression (1) (2) (3) (4)
Page 41: Table 7: Country-Level Issuance, Is
Page 45 and 46: Table 8: Equal-Weighted Fama-MacBet
Page 47 and 48: Panel B: Issuance Activity and Mark
Page 49: Panel D: Governance Interactions: 1

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