TY  - JOUR
AU  - Greenwood,Robin
AU  - Hanson,Samuel
TI  - Characteristic Timing
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 15948
PY  - 2010
Y2  - April 2010
UR  - http://www.nber.org/papers/w15948
L1  - http://www.nber.org/papers/w15948.pdf
N1  - Author contact info:
Robin Greenwood
Harvard Business School
Baker Library 267
Soldiers Field
Boston, MA 02163
Tel: 617/495-6979
Fax: 617/496-8443
E-Mail: rgreenwood@hbs.edu

Samuel Hanson
Harvard Business School
Baker Library 351
Soldiers Field
Boston, MA 02163
Tel: 617/495-6137
E-Mail: shanson@hbs.edu
AB  - We use differences between the attributes of stock issuers and repurchasers to forecast characteristic-related stock returns. For example, we show that large firms underperform following years when issuing firms are large relative to repurchasing firms. Our approach is useful for forecasting returns to portfolios based on book-to-market (HML), size (SMB), price, distress, payout policy, profitability, and industry. We consider interpretations of these results based on both time-varying risk premia and mispricing. Our results are primarily consistent with the view that firms issue and repurchase shares to exploit time-varying characteristic mispricing.
ER  -