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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: September 30, 2007
------------------
Check here if Amendment [ ]; Amendment Number:
------------
This Amendment (Check only one.): [ ] is a restatement.
[ ] adds new holdings entries.
Institutional Investment Manager Filing this Report:
Name: Hennessy Advisors, Inc.
Address: 7250 Redwood Boulevard, Suite 200
Novato, CA 94945
Form 13F File Number: 028-06715
The institutional investment manager filing this report and the person by whom
it is signed hereby represent that the person signing the report is authorized
to submit it, that all information contained herein is true, correct and
complete, and that it is understood that all required items, statements,
schedules, lists, and tables, are considered integral parts of this form.
Person Signing this Report on Behalf of Reporting Manager:
Name: Teresa M. Nilsen
Title: Executive Vice President and Chief Financial Officer
Phone: (415) 899-1555
Signature, Place, and Date of Signing:
/s/ Teresa M. Nilsen Novato, CA October 25, 2007
--------------------------------------------------------------------------------
Teresa M. Nilsen City, State Date
Report Type (Check only one):
[X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager
are reported in this report.)
[ ] 13F NOTICE. (Check here if no holdings reported are in this report, and all
holdings are reported by other reporting manager(s).)
[ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for this
reporting manager are reported in this report and a portion are reported by
other reporting manager(s).)
FORM 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 0
----------------------
Form 13F Information Table Entry Total: 175
----------------------
Form 13F Information Table Value Total: $1,669,003
----------------------
(thousands)
List of Other Included Managers: NONE
Page 1 of 9 09/30/2007
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8:
----------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
----------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
1-800-FLOWERS.COM COMMON 68243Q106 3,616 312,000 SH SOLE 312,000 0
------------------------------------------------------------------------------------------------------------------------------------
A T & T INC COMMON 00206R102 13,895 328,403 SH SOLE 317,325 11,078
------------------------------------------------------------------------------------------------------------------------------------
ACUITY BRANDS INC COMMON 00508Y102 7,511 148,800 SH SOLE 148,800 0
------------------------------------------------------------------------------------------------------------------------------------
AK STEEL HOLDING CORP COMMON 001547108 43,915 999,200 SH SOLE 999,200 0
------------------------------------------------------------------------------------------------------------------------------------
ALBEMARLE CORP COMMON 012653101 11,209 253,600 SH SOLE 253,600 0
------------------------------------------------------------------------------------------------------------------------------------
ALTRIA GROUP INC COMMON 02209S103 9,967 143,347 SH SOLE 143,225 122
------------------------------------------------------------------------------------------------------------------------------------
AMERIGROUP CORP COMMON 03073T102 17,771 515,400 SH SOLE 515,400 0
------------------------------------------------------------------------------------------------------------------------------------
AMKOR TECHNOLOGY INC COMMON 031652100 2,413 209,500 SH SOLE 209,500 0
------------------------------------------------------------------------------------------------------------------------------------
ANIXTER INTL INC COMMON 035290105 10,257 124,400 SH SOLE 124,400 0
------------------------------------------------------------------------------------------------------------------------------------
ANNTAYLOR STORES CORP COMMON 036115103 5,042 159,200 SH SOLE 159,200 0
------------------------------------------------------------------------------------------------------------------------------------
ARCELOR MITTAL -ADR ADR 03937E101 3,683 47,000 SH SOLE 47,000 0
------------------------------------------------------------------------------------------------------------------------------------
ASSURANT INC COMMON 04621X108 6,805 127,200 SH SOLE 127,200 0
------------------------------------------------------------------------------------------------------------------------------------
ASTEC INDUSTRIES INC COMMON 046224101 3,717 64,700 SH SOLE 64,700 0
------------------------------------------------------------------------------------------------------------------------------------
AVNET INC COMMON 053807103 2,810 70,500 SH SOLE 70,500 0
------------------------------------------------------------------------------------------------------------------------------------
BANK OF AMERICA CORP COMMON 060505104 3,919 77,965 SH SOLE 68,500 9,465
------------------------------------------------------------------------------------------------------------------------------------
BARCLAYS PLC/ENGLAND
-ADR ADR 06738E204 3,258 67,000 SH SOLE 67,000 0
------------------------------------------------------------------------------------------------------------------------------------
BARNES GROUP INC COMMON 067806109 2,991 93,700 SH SOLE 93,700 0
------------------------------------------------------------------------------------------------------------------------------------
BB&T CORP COMMON 054937107 3,352 83,000 SH SOLE 83,000 0
------------------------------------------------------------------------------------------------------------------------------------
BELDEN CDT INC COMMON 077454106 28,404 605,500 SH SOLE 605,500 0
------------------------------------------------------------------------------------------------------------------------------------
BENCHMARK ELECTRONICS INC COMMON 08160H101 5,929 248,400 SH SOLE 248,400 0
------------------------------------------------------------------------------------------------------------------------------------
BIG LOTS INC COMMON 089302103 31,248 1,047,200 SH SOLE 1,047,200 0
------------------------------------------------------------------------------------------------------------------------------------
Page 2 of 9 09/30/2007
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8:
----------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
----------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
BLOCKBUSTER INC COMMON 093679108 15,601 2,905,200 SH SOLE 2,905,200 0
------------------------------------------------------------------------------------------------------------------------------------
BP PLC -ADS ADR 055622104 3,676 53,000 SH SOLE 52,700 300
------------------------------------------------------------------------------------------------------------------------------------
BRISTOL MYERS SQUIBB COMMON 110122108 4,144 143,800 SH SOLE 143,000 800
------------------------------------------------------------------------------------------------------------------------------------
BRITISH AIRWAYS PLC -ADR ADR 110419306 13,852 177,200 SH SOLE 177,200 0
------------------------------------------------------------------------------------------------------------------------------------
BROWN SHOE CO INC COMMON 115736100 10,600 546,400 SH SOLE 546,400 0
------------------------------------------------------------------------------------------------------------------------------------
BUCKEYE TECHNOLOGIES INC COMMON 118255108 3,034 200,400 SH SOLE 200,400 0
------------------------------------------------------------------------------------------------------------------------------------
CAL-MAINE FOODS INC COMMON 128030202 3,857 152,800 SH SOLE 152,800 0
------------------------------------------------------------------------------------------------------------------------------------
CARMAX INC COMMON 143130102 19,720 970,000 SH SOLE 970,000 0
------------------------------------------------------------------------------------------------------------------------------------
CELANESE CORP COMMON 150870103 3,224 82,700 SH SOLE 82,700 0
------------------------------------------------------------------------------------------------------------------------------------
CENVEO INC COMMON 15670S105 17,235 796,800 SH SOLE 796,800 0
------------------------------------------------------------------------------------------------------------------------------------
CF INDUSTRIES HOLDINGS
INC COMMON 125269100 48,408 637,700 SH SOLE 637,700 0
------------------------------------------------------------------------------------------------------------------------------------
CHARLOTTE RUSSE HOLDING
INC COMMON 161048103 9,295 634,900 SH SOLE 634,900 0
------------------------------------------------------------------------------------------------------------------------------------
CHART INDUSTRIES INC COMMON 16115Q308 3,422 106,400 SH SOLE 106,400 0
------------------------------------------------------------------------------------------------------------------------------------
CHEVRONTEXACO CORP COMMON 166764100 940 10,045 SH SOLE 0 10,045
------------------------------------------------------------------------------------------------------------------------------------
CHILDRENS PLACE RETAIL
STRS COMMON 168905107 2,535 104,400 SH SOLE 104,400 0
------------------------------------------------------------------------------------------------------------------------------------
CHUNGHWA TELECOM CO -ADR ADR 17133Q205 3,740 202,400 SH SOLE 202,400 0
------------------------------------------------------------------------------------------------------------------------------------
CINCINNATI FINANCIAL CORP COMMON 172062101 3,452 79,700 SH SOLE 79,700 0
------------------------------------------------------------------------------------------------------------------------------------
CITIGROUP INC COMMON 172967101 10,327 221,275 SH SOLE 221,275 0
------------------------------------------------------------------------------------------------------------------------------------
CLEAN HARBORS INC COMMON 184496107 15,880 356,700 SH SOLE 356,700 0
------------------------------------------------------------------------------------------------------------------------------------
CNH GLOBAL NV ADR sedol
2534778 3,286 54,100 SH SOLE 54,100 0
------------------------------------------------------------------------------------------------------------------------------------
COCA-COLA COMPANY COMMON 191216100 2,557 44,500 SH SOLE 44,500 0
------------------------------------------------------------------------------------------------------------------------------------
Page 3 of 9 09/30/2007
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8:
----------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
----------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
COMMSCOPE INC COMMON 203372107 10,761 214,200 SH SOLE 214,200 0
------------------------------------------------------------------------------------------------------------------------------------
COMSYS IT PARTNERS INC COMMON 20581E104 14,636 870,700 SH SOLE 870,700 0
------------------------------------------------------------------------------------------------------------------------------------
CONTINENTAL AIRLS INC
-CL B CLASS B 210795308 14,821 448,700 SH SOLE 448,700 0
------------------------------------------------------------------------------------------------------------------------------------
CONVERGYS CORP COMMON 212485106 12,475 718,600 SH SOLE 718,600 0
------------------------------------------------------------------------------------------------------------------------------------
COPANO ENERGY LLC COMMON 217202100 21,685 590,400 SH SOLE 590,400 0
------------------------------------------------------------------------------------------------------------------------------------
CPI CORP COMMON 125902106 1,872 48,600 SH SOLE 48,600 0
------------------------------------------------------------------------------------------------------------------------------------
CUMMINS INC COMMON 231021106 18,032 141,000 SH SOLE 141,000 0
------------------------------------------------------------------------------------------------------------------------------------
DAIMLERCHRYSLER AG ADR sedol -
2307389 6,122 61,100 SH SOLE 61,100 0
------------------------------------------------------------------------------------------------------------------------------------
DIAGEO PLC -ADR ADR 25243Q205 4,097 46,700 SH SOLE 46,700 0
------------------------------------------------------------------------------------------------------------------------------------
DICKS SPORTING GOODS INC COMMON 253393102 9,891 147,300 SH SOLE 147,300 0
------------------------------------------------------------------------------------------------------------------------------------
DILLARDS INC -CL A CLASS A 254067101 4,538 207,900 SH SOLE 207,900 0
------------------------------------------------------------------------------------------------------------------------------------
DOLLAR TREE STORES INC COMMON 256747106 8,720 215,100 SH SOLE 215,100 0
------------------------------------------------------------------------------------------------------------------------------------
DONNELLEY (R R) & SONS CO COMMON 257867101 3,722 101,800 SH SOLE 101,800 0
------------------------------------------------------------------------------------------------------------------------------------
DOW CHEMICAL COMMON 260543103 3,910 90,800 SH SOLE 90,700 100
------------------------------------------------------------------------------------------------------------------------------------
DU PONT (E I) DE NEMOURS COMMON 263534109 11,746 237,000 SH SOLE 237,000 0
------------------------------------------------------------------------------------------------------------------------------------
DYNCORP INTL INC COMMON 26817C101 3,302 142,900 SH SOLE 142,900 0
------------------------------------------------------------------------------------------------------------------------------------
EMCOR GROUP INC COMMON 29084Q100 8,028 256,000 SH SOLE 256,000 0
------------------------------------------------------------------------------------------------------------------------------------
EMERGENCY MEDICAL SVCS
CORP COMMON 29100P102 2,181 72,100 SH SOLE 72,100 0
------------------------------------------------------------------------------------------------------------------------------------
ENERGIZER HOLDINGS INC COMMON 29266R108 10,786 97,300 SH SOLE 97,300 0
------------------------------------------------------------------------------------------------------------------------------------
ENI SPA -ADR ADR 26874R108 4,035 54,700 SH SOLE 54,700 0
------------------------------------------------------------------------------------------------------------------------------------
ENTERPRISE PRODS PRTNER
-LP COMMON 293792107 3,802 125,700 SH SOLE 125,700 0
------------------------------------------------------------------------------------------------------------------------------------
Page 4 of 9 09/30/2007
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8:
----------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
----------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
EXXON MOBIL CORPORATION COMMON 30231G102 485 5,242 SH SOLE 0 5,242
------------------------------------------------------------------------------------------------------------------------------------
FIAT SPA -ADR ADR 315621888 2,923 96,900 SH SOLE 96,900 0
------------------------------------------------------------------------------------------------------------------------------------
FIDELITY NATIONAL
FINANCIAL COMMON 31620R105 2,730 156,200 SH SOLE 156,200 0
------------------------------------------------------------------------------------------------------------------------------------
FTD GROUP INC COMMON 30267U108 15,643 1,051,300 SH SOLE 1,051,300 0
------------------------------------------------------------------------------------------------------------------------------------
GAMESTOP CORP COMMON 36467W109 4,147 73,600 SH SOLE 73,600 0
------------------------------------------------------------------------------------------------------------------------------------
GENERAL CABLE CORP/DE COMMON 369300108 30,479 454,100 SH SOLE 454,100 0
------------------------------------------------------------------------------------------------------------------------------------
GENERAL ELECTRIC CO. COMMON 369604103 7,548 182,327 SH SOLE 181,300 1,027
------------------------------------------------------------------------------------------------------------------------------------
GENERAL MOTORS CORP COMMON 370442105 12,880 350,945 SH SOLE 350,575 370
------------------------------------------------------------------------------------------------------------------------------------
GENESIS ENERGY -LP COMMON 371927104 2,415 86,700 SH SOLE 86,700 0
------------------------------------------------------------------------------------------------------------------------------------
GEO GROUP INC COMMON 36159R103 27,031 912,900 SH SOLE 912,900 0
------------------------------------------------------------------------------------------------------------------------------------
GLAXOSMITHKLINE PLC -ADR ADR 37733W105 3,644 68,500 SH SOLE 68,500 0
------------------------------------------------------------------------------------------------------------------------------------
GOLDMAN SACHS GROUP INC COMMON 38141G104 18,575 85,700 SH SOLE 85,700 0
------------------------------------------------------------------------------------------------------------------------------------
GRANITE CONSTRUCTION INC COMMON 387328107 6,601 124,500 SH SOLE 124,500 0
------------------------------------------------------------------------------------------------------------------------------------
GREIF INC -CL A CLASS A 397624107 20,261 333,900 SH SOLE 333,900 0
------------------------------------------------------------------------------------------------------------------------------------
HARDINGE INC COMMON 412324303 2,818 80,900 SH SOLE 80,900 0
------------------------------------------------------------------------------------------------------------------------------------
HEINZ (H J) CO COMMON 423074103 3,710 80,300 SH SOLE 80,300 0
------------------------------------------------------------------------------------------------------------------------------------
HENNESSY ADVISORS INC COMMON 425885100 28,364 2,602,171 SH SOLE 0 2,602,171
------------------------------------------------------------------------------------------------------------------------------------
HOLLY CORP COMMON 435758305 20,420 341,300 SH SOLE 341,300 0
------------------------------------------------------------------------------------------------------------------------------------
HORIZON LINES INC COMMON 44044K101 21,939 718,600 SH SOLE 718,600 0
------------------------------------------------------------------------------------------------------------------------------------
HSBC HOLDINGS PLC -ADR ADR 404280406 3,658 39,500 SH SOLE 39,500 0
------------------------------------------------------------------------------------------------------------------------------------
HUDSON HIGHLAND GROUP INC COMMON 443792106 2,148 168,700 SH SOLE 168,700 0
------------------------------------------------------------------------------------------------------------------------------------
Page 5 of 9 09/30/2007
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8:
----------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
----------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
ICO INC COMMON 449293109 3,876 275,300 SH SOLE 275,300 0
------------------------------------------------------------------------------------------------------------------------------------
INFINEON TECHNOLOGIES
AG-ADR ADR 45662N103 21,851 1,271,900 SH SOLE 1,271,900 0
------------------------------------------------------------------------------------------------------------------------------------
INGLES MARKETS INC -CL A CLASS A 457030104 15,385 536,800 SH SOLE 536,800 0
------------------------------------------------------------------------------------------------------------------------------------
INNOSPEC INC ADR 45768S105 19,545 858,000 SH SOLE 858,000 0
------------------------------------------------------------------------------------------------------------------------------------
INTEGRATED ELECTRICAL
SVCS COMMON 45811E301 2,420 94,500 SH SOLE 94,500 0
------------------------------------------------------------------------------------------------------------------------------------
INTL PAPER CO COMMON 460146103 3,874 108,000 SH SOLE 108,000 0
------------------------------------------------------------------------------------------------------------------------------------
IOMEGA CORP COMMON 462030305 3,000 572,500 SH SOLE 572,500 0
------------------------------------------------------------------------------------------------------------------------------------
J P MORGAN CHASE & CO COMMON 46625H100 10,034 218,990 SH SOLE 218,850 140
------------------------------------------------------------------------------------------------------------------------------------
JACK IN THE BOX INC COMMON 466367109 27,823 429,100 SH SOLE 429,100 0
------------------------------------------------------------------------------------------------------------------------------------
KAMAN CORP COMMON 483548103 3,131 90,600 SH SOLE 90,600 0
------------------------------------------------------------------------------------------------------------------------------------
KIMBERLY-CLARK CORP COMMON 494368103 3,824 54,426 SH SOLE 53,300 1,126
------------------------------------------------------------------------------------------------------------------------------------
KRAFT FOODS INC COMMON 50075N104 5,516 159,837 SH SOLE 159,837 0
------------------------------------------------------------------------------------------------------------------------------------
LAN AIRLINES SA -ADR ADR 501723100 24,579 1,531,400 SH SOLE 1,531,400 0
------------------------------------------------------------------------------------------------------------------------------------
LEAR CORP COMMON 521865105 17,456 543,800 SH SOLE 543,800 0
------------------------------------------------------------------------------------------------------------------------------------
LILLY (ELI) & CO COMMON 532457108 3,763 66,100 SH SOLE 66,100 0
------------------------------------------------------------------------------------------------------------------------------------
LORAL SPACE &
COMMUNICATIONS COMMON 543881106 16,023 403,100 SH SOLE 403,100 0
------------------------------------------------------------------------------------------------------------------------------------
LSB INDUSTRIES INC COMMON 502160104 3,403 143,900 SH SOLE 143,900 0
------------------------------------------------------------------------------------------------------------------------------------
LYONDELL CHEMICAL CO COMMON 552078107 6,651 143,500 SH SOLE 143,500 0
------------------------------------------------------------------------------------------------------------------------------------
M & F WORLDWIDE CORP COMMON 552541104 30,004 597,800 SH SOLE 597,800 0
------------------------------------------------------------------------------------------------------------------------------------
MANITOWOC CO COMMON 563571108 27,768 627,100 SH SOLE 627,100 0
------------------------------------------------------------------------------------------------------------------------------------
MARKWEST HYDROCARBON INC COMMON 570762104 22,653 389,700 SH SOLE 389,700 0
------------------------------------------------------------------------------------------------------------------------------------
Page 6 of 9 09/30/2007
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8:
----------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
----------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
MASCO CORP COMMON 574599106 2,887 124,600 SH SOLE 124,600 0
------------------------------------------------------------------------------------------------------------------------------------
MATRIX SERVICE COMPANY COMMON 576853105 2,606 124,400 SH SOLE 124,400 0
------------------------------------------------------------------------------------------------------------------------------------
MATTEL INC COMMON 577081102 3,817 162,700 SH SOLE 162,700 0
------------------------------------------------------------------------------------------------------------------------------------
MEADWESTVACO CORP COMMON 583334107 3,579 121,200 SH SOLE 121,200 0
------------------------------------------------------------------------------------------------------------------------------------
MENS WEARHOUSE INC COMMON 587118100 9,063 179,400 SH SOLE 179,400 0
------------------------------------------------------------------------------------------------------------------------------------
MERCK & CO COMMON 589331107 12,912 249,802 SH SOLE 249,400 402
------------------------------------------------------------------------------------------------------------------------------------
METHODE ELECTRONICS
-CL A CLASS A 591520200 2,601 172,800 SH SOLE 172,800 0
------------------------------------------------------------------------------------------------------------------------------------
MFRI INC COMMON 552721102 1,930 108,200 SH SOLE 108,200 0
------------------------------------------------------------------------------------------------------------------------------------
MIVA INC COMMON 55311R108 2,075 439,600 SH SOLE 439,600 0
------------------------------------------------------------------------------------------------------------------------------------
NATIONAL CITY CORP COMMON 635405103 2,529 100,800 SH SOLE 100,800 0
------------------------------------------------------------------------------------------------------------------------------------
NEWELL RUBBERMAID INC COMMON 651229106 3,559 123,500 SH SOLE 123,500 0
------------------------------------------------------------------------------------------------------------------------------------
NEXSTAR BROADCASTING
GROUP COMMON 65336K103 2,563 244,300 SH SOLE 244,300 0
------------------------------------------------------------------------------------------------------------------------------------
ODYSSEY RE HOLDINGS CORP COMMON 67612W108 17,345 467,400 SH SOLE 467,400 0
------------------------------------------------------------------------------------------------------------------------------------
OGE ENERGY CORP COMMON 670837103 6,260 189,120 SH SOLE 188,500 620
------------------------------------------------------------------------------------------------------------------------------------
OWENS-ILLINOIS INC COMMON 690768403 3,478 83,900 SH SOLE 83,900 0
------------------------------------------------------------------------------------------------------------------------------------
P G & E CORP COMMON 69331C108 207 4,335 SH SOLE 0 4,335
------------------------------------------------------------------------------------------------------------------------------------
PACTIV CORP COMMON 695257105 6,921 241,500 SH SOLE 241,500 0
------------------------------------------------------------------------------------------------------------------------------------
PENFORD CORP COMMON 707051108 3,208 85,100 SH SOLE 85,100 0
------------------------------------------------------------------------------------------------------------------------------------
PENSKE AUTO GROUP COMMON 70959W103 5,839 288,500 SH SOLE 288,500 0
------------------------------------------------------------------------------------------------------------------------------------
PERINI CORP COMMON 713839108 2,399 42,900 SH SOLE 42,900 0
------------------------------------------------------------------------------------------------------------------------------------
PETROCHINA CO LTD -ADR ADR 71646E100 5,146 27,800 SH SOLE 27,800 0
------------------------------------------------------------------------------------------------------------------------------------
Page 7 of 9 09/30/2007
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8:
----------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
----------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
PFIZER INC COMMON 717081103 10,775 441,038 SH SOLE 438,800 2,238
------------------------------------------------------------------------------------------------------------------------------------
PHILLIPS-VAN HEUSEN CORP COMMON 718592108 8,670 165,200 SH SOLE 165,200 0
------------------------------------------------------------------------------------------------------------------------------------
PINNACLE AIRLINES CORP COMMON 723443107 2,602 162,400 SH SOLE 162,400 0
------------------------------------------------------------------------------------------------------------------------------------
PNC FINANCIAL SVCS GROUP
INC COMMON 693475105 3,446 50,600 SH SOLE 50,600 0
------------------------------------------------------------------------------------------------------------------------------------
PPG INDUSTRIES INC COMMON 693506107 4,117 54,500 SH SOLE 54,500 0
------------------------------------------------------------------------------------------------------------------------------------
PRICELINE.COM INC COMMON 741503403 16,250 183,100 SH SOLE 183,100 0
------------------------------------------------------------------------------------------------------------------------------------
PRICESMART INC COMMON 741511109 2,905 123,100 SH SOLE 123,100 0
------------------------------------------------------------------------------------------------------------------------------------
PSS WORLD MEDICAL INC COMMON 69366A100 6,776 354,200 SH SOLE 354,200 0
------------------------------------------------------------------------------------------------------------------------------------
QUANTA SERVICES INC COMMON 74762E102 23,152 875,300 SH SOLE 875,300 0
------------------------------------------------------------------------------------------------------------------------------------
REGIONS FINL CORP COMMON 7591EP100 2,898 98,300 SH SOLE 98,300 0
------------------------------------------------------------------------------------------------------------------------------------
RELIANT ENERGY INC COMMON 75952B105 2,655 103,700 SH SOLE 103,700 0
------------------------------------------------------------------------------------------------------------------------------------
REYNOLDS AMERICAN INC COMMON 761713106 3,510 55,200 SH SOLE 55,200 0
------------------------------------------------------------------------------------------------------------------------------------
RITE AID CORP COMMON 767754104 14,284 3,091,700 SH SOLE 3,091,700 0
------------------------------------------------------------------------------------------------------------------------------------
ROBBINS & MYERS INC COMMON 770196103 28,330 494,500 SH SOLE 494,500 0
------------------------------------------------------------------------------------------------------------------------------------
ROCK-TENN CO COMMON 772739207 16,074 556,200 SH SOLE 556,200 0
------------------------------------------------------------------------------------------------------------------------------------
ROYAL DUTCH SHELL PLC
-ADR ADR 780259206 4,214 51,272 SH SOLE 50,600 672
------------------------------------------------------------------------------------------------------------------------------------
SASOL LTD -ADR ADR 803866300 4,235 98,500 SH SOLE 98,500 0
------------------------------------------------------------------------------------------------------------------------------------
SAUER-DANFOSS INC COMMON 804137107 14,602 547,300 SH SOLE 547,300 0
------------------------------------------------------------------------------------------------------------------------------------
SHERWIN-WILLIAMS CO COMMON 824348106 18,031 274,400 SH SOLE 274,400 0
------------------------------------------------------------------------------------------------------------------------------------
SKECHERS U S A INC COMMON 830566105 11,722 530,400 SH SOLE 530,400 0
------------------------------------------------------------------------------------------------------------------------------------
SOUTHERN COPPER CORP COMMON 84265V105 8,024 64,800 SH SOLE 64,800 0
------------------------------------------------------------------------------------------------------------------------------------
Page 8 of 9 09/30/2007
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8:
----------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
----------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
SPARTAN STORES INC COMMON 846822104 18,319 813,100 SH SOLE 813,100 0
------------------------------------------------------------------------------------------------------------------------------------
STATOIL ASA -ADR ADR 85771P102 4,355 128,400 SH SOLE 128,400 0
------------------------------------------------------------------------------------------------------------------------------------
STEEL DYNAMICS INC COMMON 858119100 23,051 493,600 SH SOLE 493,600 0
------------------------------------------------------------------------------------------------------------------------------------
SUN HEALTHCARE GROUP INC COMMON 866933401 25,571 1,530,300 SH SOLE 1,530,300 0
------------------------------------------------------------------------------------------------------------------------------------
SYSTEMAX INC COMMON 871851101 18,780 918,800 SH SOLE 918,800 0
------------------------------------------------------------------------------------------------------------------------------------
TEREX CORP COMMON 880779103 3,018 33,900 SH SOLE 33,900 0
------------------------------------------------------------------------------------------------------------------------------------
TERRA INDUSTRIES INC COMMON 880915103 3,395 108,600 SH SOLE 108,600 0
------------------------------------------------------------------------------------------------------------------------------------
THE CHARLES SCHWAB CORP COMMON 808513105 218 10,100 SH SOLE 0 10,100
------------------------------------------------------------------------------------------------------------------------------------
TWIN DISC INC COMMON 901476101 2,380 40,900 SH SOLE 40,900 0
------------------------------------------------------------------------------------------------------------------------------------
U G I CORPORATION NEW COMMON 902681105 452 17,400 SH SOLE 0 17,400
------------------------------------------------------------------------------------------------------------------------------------
U S BANCORP COMMON 902973304 3,464 106,475 SH SOLE 106,400 75
------------------------------------------------------------------------------------------------------------------------------------
ULTRAPAR PARTICIPACOES
-ADR ADR 90400P101 3,459 89,300 SH SOLE 89,300 0
------------------------------------------------------------------------------------------------------------------------------------
US AIRWAYS GROUP INC COMMON 90341W108 9,216 351,100 SH SOLE 351,100 0
------------------------------------------------------------------------------------------------------------------------------------
VERIZON COMMUNICATIONS COMMON 92343V104 14,011 316,410 SH SOLE 303,375 13,035
------------------------------------------------------------------------------------------------------------------------------------
VF CORP COMMON 918204108 7,397 91,600 SH SOLE 91,600 0
------------------------------------------------------------------------------------------------------------------------------------
VOLT INFO SCIENCES INC COMMON 928703107 9,256 524,700 SH SOLE 524,700 0
------------------------------------------------------------------------------------------------------------------------------------
VOLVO AB SWE -ADR ADR 928856400 24,949 1,438,000 SH SOLE 1,438,000 0
------------------------------------------------------------------------------------------------------------------------------------
VSE CORP COMMON 918284100 2,927 61,900 SH SOLE 61,900 0
------------------------------------------------------------------------------------------------------------------------------------
WACHOVIA CORP COMMON 929903102 3,295 65,700 SH SOLE 65,700 0
------------------------------------------------------------------------------------------------------------------------------------
WARNACO GROUP INC COMMON 934390402 3,079 78,800 SH SOLE 78,800 0
------------------------------------------------------------------------------------------------------------------------------------
WASHINGTON MUTUAL INC COMMON 939322103 2,860 81,000 SH SOLE 81,000 0
------------------------------------------------------------------------------------------------------------------------------------
Page 9 of 9 09/30/2007
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8:
----------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
----------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
WATSON WYATT WORLDWIDE
INC COMMON 942712100 7,514 167,200 SH SOLE 167,200 0
------------------------------------------------------------------------------------------------------------------------------------
WELLCARE HEALTH PLANS INC COMMON 94946T106 41,276 391,500 SH SOLE 391,500 0
------------------------------------------------------------------------------------------------------------------------------------
WELLS FARGO & CO COMMON 949746101 3,976 111,620 SH SOLE 101,800 9,820
------------------------------------------------------------------------------------------------------------------------------------
WEST PHARMACEUTICAL SVSC
INC COMMON 955306105 7,449 178,800 SH SOLE 178,800 0
------------------------------------------------------------------------------------------------------------------------------------
WESTAMERICA BANCORP COMMON 957090103 467 9,383 SH SOLE 0 9,383
------------------------------------------------------------------------------------------------------------------------------------
WESTERN REFINING INC COMMON 959319104 2,155 53,100 SH SOLE 53,100 0
------------------------------------------------------------------------------------------------------------------------------------
WEYERHAEUSER CO COMMON 962166104 3,861 53,400 SH SOLE 53,400 0
------------------------------------------------------------------------------------------------------------------------------------
TOTAL 1,669,003
------------------------------------------------------------------------------------------------------------------------------------