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1-Month 1-Year % Panel C: Correlation Matrix Log Erngs. Issue Issue Nonzero Liquidity Turnover GDP Law Accntg. Criminal Liability Protect Mng. 1-Month Issue 1.00 1-Year Issue 0.79 1.00 % Non-Zero -0.42 -0.24 1.00 Liquidity -0.09 -0.07 0.49 1.00 Turnover -0.14 -0.17 0.29 0.64 1.00 Log GDP -0.09 0.05 0.37 0.35 0.02 1.00 Law -0.13 -0.09 0.51 0.11 -0.05 -0.08 1.00 Accntg. 0.04 0.22 0.58 0.21 0.10 0.40 0.47 1.00 Criminal 0.04 0.03 0.43 0.30 0.01 0.08 0.41 0.45 1.00 Liability -0.16 -0.13 0.43 0.38 0.09 0.04 0.34 0.32 0.17 1.00 Protect -0.16 -0.18 0.48 0.29 0.01 -0.12 0.61 0.36 0.33 0.78 1.00 Erngs. Mng. 0.42 0.05 -0.57 0.07 0.27 -0.08 -0.45 -0.65 -0.26 -0.37 -0.54 1.00 43
Table 8: Equal-Weighted Fama-MacBeth Regressions of Monthly Returns on Annual Share Issuance with Issuance Activity, Market Development, and Governance Interactions and Controls This table reports the results of equal-weighted Fama-MacBeth regressions. Holding period returns measured over one month and one year are regressed on the natural logarithm of 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 one-year (ISSUE) real changes in the number of shares outstanding. 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 interacted with each of the variables described in Table 7. 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 firm-month observations. 44
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 and 42: Table 7: Country-Level Issuance, Is
Page 43: Country Panel B: Governance Variabl
Page 47 and 48: Panel B: Issuance Activity and Mark
Page 49: Panel D: Governance Interactions: 1

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