ChShrout
Change in Shares Outstanding — Pontiff and Woodgate 2008
Financing
Quick facts
| Factor ID | ChShrout |
| Display name | Change in Shares Outstanding |
| Family | Predictor |
| Category | Financing |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Pontiff and Woodgate 2008 |
| Source tables | daily_basic |
| Required fields | total_share |
| PIT required | no |
| Coverage | 2011-01-27 – 2026-05-15 · 617,458 rows · 90.1% of panel |
Formula
total_share / total_share_t-252 - 1
One-year growth in total shares outstanding from Tushare daily_basic as a financing-intensity proxy.
China adaptation
Captures both seasoned equity issuance and bonus-share/split events; A-share-specific issuance routes are aggregated here and will be split out in follow-up work.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 184 |
| Monthly mean | 0.0774% |
| Monthly std | 2.0829% |
| Annualized Sharpe | 0.13 |
| t-stat (simple) | 0.50 |
| Hit rate (months > 0) | 53.8% |
| Last 12M compounded | -14.11% |
| Cumulative wealth (start = 1) | 1.108 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -1.84% | 1.267 | 5046 |
| 2025-06 | +0.19% | 1.269 | 5055 |
| 2025-07 | -3.65% | 1.223 | 5057 |
| 2025-08 | -1.69% | 1.202 | 5061 |
| 2025-09 | +1.67% | 1.222 | 5069 |
| 2025-10 | +2.00% | 1.246 | 5075 |
| 2025-11 | -1.96% | 1.222 | 5081 |
| 2025-12 | -1.13% | 1.208 | 5088 |
| 2026-01 | -0.08% | 1.207 | 5095 |
| 2026-02 | +0.89% | 1.218 | 5099 |
| 2026-03 | -5.45% | 1.152 | 5104 |
| 2026-04 | -3.78% | 1.108 | 5100 |
Known data issues
Total share counts in Tushare are post-event so this combines several economically distinct corporate actions.
Notes
Bonus-share and split events inflate share-count growth without raising cash; an event-aware variant is planned.
See also: Financing family, Factor library, Factor returns.