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

data prior to the listed start dates to construct some of the variables that are described in the
following subsection. To be included in our sample, a stock must have sufficient information
to generate the annual issuance measure (explained below), market value of equity, lagged
six-month holding period return, and current month’s return. Each month we limit our
sample to countries that have at least 50 firm observations in that month.
Our final sample consists of 2,819,906 total firm-month observations (see column 4
of Table 1). Japan represents the largest part of our sample, accounting for 14.72% of the
total observations (column 5) and 29.56% of the total market value per month (column 9).
The United Kingdom is the second largest and accounts for 13.27% of the total observations
and 11.68% of the total market value. The rest of the countries typically accounts for less
than 5% of the total observations and market value.
1.2. Variables
Share issuance. The main variable of our interest is the real change in shares
outstanding, or the change in the number of shares outstanding adjusted for distribution
events such as stock splits and stock dividends. We use the capital adjustment index from
Datastream recorded at the end of month t (CAIt) to calculate the number of real shares
outstanding for that month (Adjusted Sharest). The CAI is the cumulative product of the
inverse of the individual-period capital adjustment factor (AX) and is analogous to the Total
Factor of Pontiff and Woodgate (2006):
CAIt = ∏
i=
t
1
1 /AXi
.
Adjusted Sharest is then given by:
Adjusted Sharest = Shares Outstandingt / CAIt.
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