Motivated by stock-level evidence of the issuance anomalies, we examine whether a similar effect drives the cross-section of country stock returns. To this end, we investigate six decades of data from 67 markets. The changes in aggregate shares outstanding negatively predict future country equity returns. The quintile of markets with the highest share increase underperforms their low-issuance counterparts by 0.85 % per month. The effect is distinctly robust and cannot be subsumed by known risk factors. The observed pattern complies with the mispricing interpretation, and high arbitrage constraints augment its magnitude. Finally, the issuance premium may be harvested with exchange-traded funds, paving the way for a viable country selection strategy.

在股票层面的发行异常证据的推动下，我们研究了是否有类似的效应驱动了国家股票的横截面回报。为此，我们调查了来自 67 个市场的 6 个十年的数据。已发行股票总数的变化对未来国家股票回报产生负面影响。份额增幅最高的五分之一市场每月的表现比低发行量市场低 0.85%。该效应明显明显，并且不能被已知的风险因素所涵盖。观察到的模式符合错误定价的解释，而高套利限制则扩大了其幅度。最后，发行溢价可以通过交易所交易基金获得，为可行的国家选择策略铺平道路。