New equity issues, share repurchases, and the predictability of aggregate stock returns: an international perspective

Abstract

[ACCESS RESTRICTED TO THE UNIVERSITY OF MISSOURI AT AUTHOR'S REQUEST.] This dissertation investigates the predictive effects of the aggregate stock market returns by new equity issues and shares repurchase in a broader cross-section of 41 countries. I apply a comparative analysis to this study taking into consideration the cross-country variations in the levels of information asymmetry caused by institutional factors including legal protection, disclosure standards, financial structure, and development of information and communication technology. I find strong evidence for the predictive effects both by new equity issues and shares repurchase in the international markets. In addition, the results of my dissertation suggest that information asymmetry is an important contributing factor to the predictive effects by equity share and shares repurchase. The results of this international study raise a new explanation for the aggregate managerial market timing. Overall, my finding provides important empirical evidence to current market timing literature and shed light on the long-term implications of market efficiency.