This paper examines three portfolios weighted by fundamental measures of firm size: share repurchases, total payout, and earnings retention. We find that the repurchase weighted and the total payout weighted portfolios have higher excess returns and higher Sharpe ratios than the most common...

Future Economic Information Embedded in High Yield SpreadsThe financial accelerator mechanism, also called credit channel theory (Bernanke and Gertler [1995] and Bernanke and Gertler, and Gilchrist [1996]), assumes external financing is more costly than internal financing in the absence of full...