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OMB Number: 3235-0006
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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: December 31, 2006
------------------
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 January 31, 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: 179
----------------------
Form 13F Information Table Value Total: $1,997,283
----------------------
(thousands)
List of Other Included Managers: NONE
Page 1 of 9 12/31/2006
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
----------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
AAR CORP COMMON 000361105 26,157 896,100 SH SOLE 896,100 0
------------------------------------------------------------------------------------------------------------------------------------
AEP INDUSTRIES INC COMMON 001031103 5,891 110,500 SH SOLE 110,500 0
------------------------------------------------------------------------------------------------------------------------------------
AES CORP. (THE) COMMON 00130H105 4,670 211,900 SH SOLE 211,900 0
------------------------------------------------------------------------------------------------------------------------------------
AMN HEALTHCARE SERVICES
INC COMMON 001744101 5,169 187,700 SH SOLE 187,700 0
------------------------------------------------------------------------------------------------------------------------------------
AMR CORP/DE COMMON 001765106 5,127 170,600 SH SOLE 169,600 1,000
------------------------------------------------------------------------------------------------------------------------------------
A T & T INC COMMON 00206R102 15,380 430,221 SH SOLE 422,725 7,496
------------------------------------------------------------------------------------------------------------------------------------
ACUITY BRANDS INC COMMON 00508Y102 7,202 138,400 SH SOLE 138,400 0
------------------------------------------------------------------------------------------------------------------------------------
ALBEMARLE CORP COMMON 012653101 8,465 117,900 SH SOLE 117,900 0
------------------------------------------------------------------------------------------------------------------------------------
ALLEGHENY TECHNOLOGIES
INC COMMON 01741R102 51,098 563,500 SH SOLE 563,500 0
------------------------------------------------------------------------------------------------------------------------------------
ALON USA ENERGY INC COMMON 020520102 3,257 123,800 SH SOLE 123,800 0
------------------------------------------------------------------------------------------------------------------------------------
ALTRIA GROUP INC COMMON 02209S103 14,239 165,920 SH SOLE 165,475 445
------------------------------------------------------------------------------------------------------------------------------------
AMERCO COMMON 023586100 28,278 325,000 SH SOLE 325,000 0
------------------------------------------------------------------------------------------------------------------------------------
AMPCO-PITTSBURGH CORP COMMON 032037103 4,808 143,600 SH SOLE 143,600 0
------------------------------------------------------------------------------------------------------------------------------------
ANIXTER INTL INC COMMON 035290105 6,283 115,700 SH SOLE 115,700 0
------------------------------------------------------------------------------------------------------------------------------------
ANNTAYLOR STORES CORP COMMON 036115103 8,266 251,700 SH SOLE 251,700 0
------------------------------------------------------------------------------------------------------------------------------------
ARCH CHEMICALS INC COMMON 03937R102 4,007 120,300 SH SOLE 120,300 0
------------------------------------------------------------------------------------------------------------------------------------
ARCHER-DANIELS-MIDLAND CO COMMON 039483102 3,215 100,600 SH SOLE 100,600 0
------------------------------------------------------------------------------------------------------------------------------------
ARKANSAS BEST CORP COMMON 040790107 3,182 88,400 SH SOLE 88,400 0
------------------------------------------------------------------------------------------------------------------------------------
ASSURANT INC COMMON 04621X108 6,536 118,300 SH SOLE 118,300 0
------------------------------------------------------------------------------------------------------------------------------------
ASTEC INDUSTRIES INC COMMON 046224101 23,524 670,200 SH SOLE 670,200 0
------------------------------------------------------------------------------------------------------------------------------------
BB&T CORP COMMON 054937107 4,819 109,700 SH SOLE 109,700 0
------------------------------------------------------------------------------------------------------------------------------------
Page 2 of 9 12/31/2006
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
BP PLC -ADS ADR 055622104 4,697 70,000 SH SOLE 69,700 300
------------------------------------------------------------------------------------------------------------------------------------
BANCO BRADESCO SA -ADR ADR 059460303 27,696 686,400 SH SOLE 686,400 0
------------------------------------------------------------------------------------------------------------------------------------
BANCO ITAU HLDG FINCIERA
-ADR ADR 059602201 30,008 830,100 SH SOLE 830,100 0
------------------------------------------------------------------------------------------------------------------------------------
BANK OF AMERICA CORP COMMON 060505104 5,445 101,994 SH SOLE 90,600 11,394
------------------------------------------------------------------------------------------------------------------------------------
BARCLAYS PLC/ENGLAND
-ADR ADR 06738E204 5,151 88,600 SH SOLE 88,600 0
------------------------------------------------------------------------------------------------------------------------------------
BEACON ROOFING SUPPLY INC COMMON 073685109 20,629 1,096,100 SH SOLE 1,096,100 0
------------------------------------------------------------------------------------------------------------------------------------
BELDEN CDT INC COMMON 077454106 12,137 310,500 SH SOLE 310,500 0
------------------------------------------------------------------------------------------------------------------------------------
BENCHMARK ELECTRONICS INC COMMON 08160H101 5,627 231,000 SH SOLE 231,000 0
------------------------------------------------------------------------------------------------------------------------------------
BERKLEY (W R) CORP COMMON 084423102 23,060 668,200 SH SOLE 668,200 0
------------------------------------------------------------------------------------------------------------------------------------
BIG LOTS INC COMMON 089302103 7,135 311,300 SH SOLE 311,300 0
------------------------------------------------------------------------------------------------------------------------------------
BRIGHTPOINT INC COMMON 109473405 18,354 1,364,600 SH SOLE 1,364,600 0
------------------------------------------------------------------------------------------------------------------------------------
BRISTOL MYERS SQUIBB COMMON 110122108 4,998 189,900 SH SOLE 189,100 800
------------------------------------------------------------------------------------------------------------------------------------
CARMAX INC COMMON 143130102 8,200 152,900 SH SOLE 152,900 0
------------------------------------------------------------------------------------------------------------------------------------
CASUAL MALE RETAIL GRP
INC COMMON 148711104 5,263 403,300 SH SOLE 403,300 0
------------------------------------------------------------------------------------------------------------------------------------
CELADON GROUP INC COMMON 150838100 3,710 221,500 SH SOLE 221,500 0
------------------------------------------------------------------------------------------------------------------------------------
CENVEO INC COMMON 15670S105 4,950 233,500 SH SOLE 233,500 0
------------------------------------------------------------------------------------------------------------------------------------
CHAPARRAL STEEL CO COMMON 159423102 5,587 126,200 SH SOLE 126,200 0
------------------------------------------------------------------------------------------------------------------------------------
CHEVRONTEXACO CORP COMMON 166764100 1,144 15,557 SH SOLE 0 15,557
------------------------------------------------------------------------------------------------------------------------------------
CHILDRENS PLACE RETAIL
STRS COMMON 168905107 6,168 97,100 SH SOLE 97,100 0
------------------------------------------------------------------------------------------------------------------------------------
CHUNGHWA TELECOM CO -ADR ADR 17133Q205 4,800 243,300 SH SOLE 243,300 0
------------------------------------------------------------------------------------------------------------------------------------
CINCINNATI FINANCIAL CORP COMMON 172062101 4,776 105,400 SH SOLE 105,400 0
------------------------------------------------------------------------------------------------------------------------------------
Page 3 of 9 12/31/2006
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
CIRCUIT CITY STORES INC COMMON 172737108 17,811 938,400 SH SOLE 938,400 0
------------------------------------------------------------------------------------------------------------------------------------
CITIGROUP INC COMMON 172967101 14,918 267,825 SH SOLE 267,825 0
------------------------------------------------------------------------------------------------------------------------------------
CLEAN HARBORS INC COMMON 184496107 5,504 113,700 SH SOLE 113,700 0
------------------------------------------------------------------------------------------------------------------------------------
COCA-COLA COMPANY COMMON 191216100 1,637 33,925 SH SOLE 33,925 0
------------------------------------------------------------------------------------------------------------------------------------
COMMSCOPE INC COMMON 203372107 6,072 199,200 SH SOLE 199,200 0
------------------------------------------------------------------------------------------------------------------------------------
CONN'S INC COMMON 208242107 12,982 557,900 SH SOLE 557,900 0
------------------------------------------------------------------------------------------------------------------------------------
CONTINENTAL AIRLS INC
-CL B CLASS B 210795308 5,948 144,200 SH SOLE 144,200 0
------------------------------------------------------------------------------------------------------------------------------------
CRAY INC COMMON 225223304 4,449 374,500 SH SOLE 374,500 0
------------------------------------------------------------------------------------------------------------------------------------
CROSSTEX ENERGY INC COMMON 22765Y104 4,342 137,000 SH SOLE 137,000 0
------------------------------------------------------------------------------------------------------------------------------------
CUMMINS INC COMMON 231021106 10,589 89,600 SH SOLE 89,600 0
------------------------------------------------------------------------------------------------------------------------------------
DAIMLERCHRYSLER AG ADR 4,962 80,800 SH SOLE 80,800 0
------------------------------------------------------------------------------------------------------------------------------------
DSW INC COMMON 23334L102 4,906 127,200 SH SOLE 127,200 0
------------------------------------------------------------------------------------------------------------------------------------
DIAGEO PLC -ADR ADR 25243Q205 4,893 61,700 SH SOLE 61,700 0
------------------------------------------------------------------------------------------------------------------------------------
DICKS SPORTING GOODS INC COMMON 253393102 6,712 137,000 SH SOLE 137,000 0
------------------------------------------------------------------------------------------------------------------------------------
DILLARDS INC -CL A CLASS A 254067101 11,760 336,300 SH SOLE 336,300 0
------------------------------------------------------------------------------------------------------------------------------------
DOLLAR TREE STORES INC COMMON 256747106 6,023 200,100 SH SOLE 200,100 0
------------------------------------------------------------------------------------------------------------------------------------
DONNELLEY (R R) & SONS CO COMMON 257867101 4,787 134,700 SH SOLE 134,700 0
------------------------------------------------------------------------------------------------------------------------------------
DOW CHEMICAL COMMON 260543103 4,789 119,900 SH SOLE 119,900 0
------------------------------------------------------------------------------------------------------------------------------------
DRESS BARN INC COMMON 261570105 27,130 1,162,900 SH SOLE 1,162,900 0
------------------------------------------------------------------------------------------------------------------------------------
DREW INDUSTRIES INC COMMON 26168L205 19,645 755,300 SH SOLE 755,300 0
------------------------------------------------------------------------------------------------------------------------------------
DU PONT (E I) DE NEMOURS COMMON 263534109 14,642 300,600 SH SOLE 300,600 0
------------------------------------------------------------------------------------------------------------------------------------
Page 4 of 9 12/31/2006
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
EMC INSURANCE GROUP INC COMMON 268664109 4,596 134,700 SH SOLE 134,700 0
------------------------------------------------------------------------------------------------------------------------------------
ENI SPA -ADR ADR 26874R108 4,864 72,300 SH SOLE 72,300 0
------------------------------------------------------------------------------------------------------------------------------------
EMCOR GROUP INC COMMON 29084Q100 40,597 714,100 SH SOLE 714,100 0
------------------------------------------------------------------------------------------------------------------------------------
ENERGIZER HOLDINGS INC COMMON 29266R108 6,425 90,500 SH SOLE 90,500 0
------------------------------------------------------------------------------------------------------------------------------------
ENTERPRISE PRODS PRTNER
-LP COMMON 293792107 4,819 166,300 SH SOLE 166,300 0
------------------------------------------------------------------------------------------------------------------------------------
ESCALA GROUP INC COMMON 29605W107 7,940 1,032,500 SH SOLE 1,032,500 0
------------------------------------------------------------------------------------------------------------------------------------
EXPRESS SCRIPTS INC COMMON 302182100 18,408 257,100 SH SOLE 257,100 0
------------------------------------------------------------------------------------------------------------------------------------
EXXON MOBIL CORPORATION COMMON 30231G102 400 5,220 SH SOLE 0 5,220
------------------------------------------------------------------------------------------------------------------------------------
FMC TECHNOLOGIES INC COMMON 30249U101 3,840 62,300 SH SOLE 62,300 0
------------------------------------------------------------------------------------------------------------------------------------
FIDELITY NATIONAL
FINANCIAL COMMON 31620R105 4,931 206,500 SH SOLE 206,500 0
------------------------------------------------------------------------------------------------------------------------------------
FOSTER WHEELER LTD COMMON 29,825 540,900 SH SOLE 540,900 0
------------------------------------------------------------------------------------------------------------------------------------
FRONTIER OIL CORP COMMON 35914P105 34,643 1,205,400 SH SOLE 1,205,400 0
------------------------------------------------------------------------------------------------------------------------------------
GENERAL CABLE CORP/DE COMMON 369300108 45,253 1,035,300 SH SOLE 1,035,300 0
------------------------------------------------------------------------------------------------------------------------------------
GENERAL ELECTRIC CO. COMMON 369604103 7,676 206,276 SH SOLE 205,050 1,226
------------------------------------------------------------------------------------------------------------------------------------
GENERAL MOTORS CORP COMMON 370442105 14,212 462,617 SH SOLE 462,250 367
------------------------------------------------------------------------------------------------------------------------------------
GENTEK INC COMMON 37245X203 5,144 148,700 SH SOLE 148,700 0
------------------------------------------------------------------------------------------------------------------------------------
GERBER SCIENTIFIC INC COMMON 373730100 3,846 306,200 SH SOLE 306,200 0
------------------------------------------------------------------------------------------------------------------------------------
GIANT INDUSTRIES INC COMMON 374508109 29,665 395,800 SH SOLE 395,800 0
------------------------------------------------------------------------------------------------------------------------------------
GLAXOSMITHKLINE PLC -ADR ADR 37733W105 4,780 90,600 SH SOLE 90,600 0
------------------------------------------------------------------------------------------------------------------------------------
GRANITE CONSTRUCTION INC COMMON 387328107 5,827 115,800 SH SOLE 115,800 0
------------------------------------------------------------------------------------------------------------------------------------
GREAT ATLANTIC & PAC TEA
CO COMMON 390064103 24,234 941,500 SH SOLE 941,500 0
------------------------------------------------------------------------------------------------------------------------------------
Page 5 of 9 12/31/2006
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
GYMBOREE CORP COMMON 403777105 4,919 128,900 SH SOLE 128,900 0
------------------------------------------------------------------------------------------------------------------------------------
HSBC HOLDINGS PLC -ADR ADR 404280406 4,793 52,300 SH SOLE 52,300 0
------------------------------------------------------------------------------------------------------------------------------------
HARLEYSVILLE GROUP INC COMMON 412824104 4,506 129,400 SH SOLE 129,400 0
------------------------------------------------------------------------------------------------------------------------------------
HEINZ (H J) CO COMMON 423074103 4,776 106,100 SH SOLE 106,100 0
------------------------------------------------------------------------------------------------------------------------------------
HENNESSY ADVISORS INC COMMON 425885100 43,234 1,879,721 SH SOLE 0 1,879,721
------------------------------------------------------------------------------------------------------------------------------------
HOLLY CORP COMMON 435758305 40,699 791,800 SH SOLE 791,800 0
------------------------------------------------------------------------------------------------------------------------------------
IDEARC INC COMMON 451663108 321 11,198 SH SOLE 10,534 664
------------------------------------------------------------------------------------------------------------------------------------
INTL PAPER CO COMMON 460146103 4,869 143,100 SH SOLE 142,800 300
------------------------------------------------------------------------------------------------------------------------------------
INTERSTATE HOTELS &
RESORTS COMMON 46088S106 3,387 453,960 SH SOLE 453,900 60
------------------------------------------------------------------------------------------------------------------------------------
IPSCO INC ADR 462622101 25,336 269,900 SH SOLE 269,900 0
------------------------------------------------------------------------------------------------------------------------------------
J P MORGAN CHASE & CO COMMON 46625H100 14,061 291,115 SH SOLE 290,825 290
------------------------------------------------------------------------------------------------------------------------------------
JABIL CIRCUIT INC COMMON 466313103 14,669 597,500 SH SOLE 597,500 0
------------------------------------------------------------------------------------------------------------------------------------
JACK IN THE BOX INC COMMON 466367109 7,306 119,700 SH SOLE 119,700 0
------------------------------------------------------------------------------------------------------------------------------------
KIMBERLY-CLARK CORP COMMON 494368103 4,867 71,626 SH SOLE 70,500 1,126
------------------------------------------------------------------------------------------------------------------------------------
KRAFT FOODS INC COMMON 50075N104 4,844 135,700 SH SOLE 135,700 0
------------------------------------------------------------------------------------------------------------------------------------
LILLY (ELI) & CO COMMON 532457108 4,554 87,400 SH SOLE 87,400 0
------------------------------------------------------------------------------------------------------------------------------------
LINCOLN ELECTRIC HLDGS
INC COMMON 533900106 4,290 71,000 SH SOLE 71,000 0
------------------------------------------------------------------------------------------------------------------------------------
LYONDELL CHEMICAL CO COMMON 552078107 4,851 189,700 SH SOLE 189,700 0
------------------------------------------------------------------------------------------------------------------------------------
MANITOWOC CO COMMON 563571108 44,876 755,100 SH SOLE 755,100 0
------------------------------------------------------------------------------------------------------------------------------------
MARATHON OIL CORP COMMON 565849106 33,809 365,500 SH SOLE 365,500 0
------------------------------------------------------------------------------------------------------------------------------------
MASCO CORP COMMON 574599106 4,920 164,700 SH SOLE 164,700 0
------------------------------------------------------------------------------------------------------------------------------------
Page 6 of 9 12/31/2006
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
MATRIX SERVICE COMPANY COMMON 576853105 5,889 365,800 SH SOLE 365,800 0
------------------------------------------------------------------------------------------------------------------------------------
MATTEL INC COMMON 577081102 4,874 215,100 SH SOLE 215,100 0
------------------------------------------------------------------------------------------------------------------------------------
MEADOWBROOK INS GROUP INC COMMON 58319P108 3,989 403,300 SH SOLE 403,300 0
------------------------------------------------------------------------------------------------------------------------------------
MEADWESTVACO CORP COMMON 583334107 4,816 160,200 SH SOLE 160,200 0
------------------------------------------------------------------------------------------------------------------------------------
MENS WEARHOUSE INC COMMON 587118100 6,386 166,900 SH SOLE 166,900 0
------------------------------------------------------------------------------------------------------------------------------------
MENTOR GRAPHICS CORP COMMON 587200106 5,957 330,400 SH SOLE 330,400 0
------------------------------------------------------------------------------------------------------------------------------------
MERCK & CO COMMON 589331107 14,096 323,295 SH SOLE 322,800 495
------------------------------------------------------------------------------------------------------------------------------------
NATCO GROUP INC COMMON 63227W203 3,752 117,700 SH SOLE 117,700 0
------------------------------------------------------------------------------------------------------------------------------------
NATIONAL BEVERAGE CORP COMMON 635017106 3,639 259,400 SH SOLE 259,400 0
------------------------------------------------------------------------------------------------------------------------------------
NATIONAL CITY CORP COMMON 635405103 4,870 133,200 SH SOLE 133,200 0
------------------------------------------------------------------------------------------------------------------------------------
NEWELL RUBBERMAID INC COMMON 651229106 4,725 163,200 SH SOLE 163,200 0
------------------------------------------------------------------------------------------------------------------------------------
NORDSTROM INC COMMON 655664100 27,956 566,600 SH SOLE 566,600 0
------------------------------------------------------------------------------------------------------------------------------------
OGE ENERGY CORP COMMON 670837103 11,637 290,920 SH SOLE 290,300 620
------------------------------------------------------------------------------------------------------------------------------------
OIL STATES INTL INC COMMON 678026105 19,212 596,100 SH SOLE 596,100 0
------------------------------------------------------------------------------------------------------------------------------------
OLD DOMINION FREIGHT COMMON 679580100 2,903 120,600 SH SOLE 120,600 0
------------------------------------------------------------------------------------------------------------------------------------
ON SEMICONDUCTOR CORP COMMON 682189105 24,708 3,264,000 SH SOLE 3,264,000 0
------------------------------------------------------------------------------------------------------------------------------------
P.A.M. TRANSPORTATION
SVCS COMMON 693149106 3,015 136,900 SH SOLE 136,900 0
------------------------------------------------------------------------------------------------------------------------------------
P G & E CORP COMMON 69331C108 284 6,005 SH SOLE 0 6,005
------------------------------------------------------------------------------------------------------------------------------------
PNC FINANCIAL SVCS GROUP
INC COMMON 693475105 4,953 66,900 SH SOLE 66,900 0
------------------------------------------------------------------------------------------------------------------------------------
PPG INDUSTRIES INC COMMON 693506107 4,630 72,100 SH SOLE 72,100 0
------------------------------------------------------------------------------------------------------------------------------------
PSS WORLD MEDICAL INC COMMON 69366A100 6,435 329,500 SH SOLE 329,500 0
------------------------------------------------------------------------------------------------------------------------------------
Page 7 of 9 12/31/2006
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
PACTIV CORP COMMON 695257105 8,016 224,600 SH SOLE 224,600 0
------------------------------------------------------------------------------------------------------------------------------------
PALM INC COMMON 696643105 18,139 1,287,400 SH SOLE 1,287,400 0
------------------------------------------------------------------------------------------------------------------------------------
PANTRY INC COMMON 698657103 19,799 422,700 SH SOLE 422,700 0
------------------------------------------------------------------------------------------------------------------------------------
PAPA JOHNS INTERNATIONAL
INC COMMON 698813102 19,930 687,000 SH SOLE 687,000 0
------------------------------------------------------------------------------------------------------------------------------------
PAYLESS SHOESOURCE INC COMMON 704379106 31,474 959,000 SH SOLE 959,000 0
------------------------------------------------------------------------------------------------------------------------------------
PETRO-CANADA ADR 71644E102 21,821 531,700 SH SOLE 531,700 0
------------------------------------------------------------------------------------------------------------------------------------
PETROCHINA CO LTD -ADR ADR 71646E100 5,167 36,700 SH SOLE 36,700 0
------------------------------------------------------------------------------------------------------------------------------------
PFIZER INC COMMON 717081103 13,483 520,580 SH SOLE 518,250 2,330
------------------------------------------------------------------------------------------------------------------------------------
PHILLIPS-VAN HEUSEN CORP COMMON 718592108 7,706 153,600 SH SOLE 153,600 0
------------------------------------------------------------------------------------------------------------------------------------
PLAYTEX PRODUCTS INC COMMON 72813P100 24,417 1,696,800 SH SOLE 1,696,800 0
------------------------------------------------------------------------------------------------------------------------------------
PLEXUS CORP COMMON 729132100 22,891 958,600 SH SOLE 958,600 0
------------------------------------------------------------------------------------------------------------------------------------
PRICELINE.COM INC COMMON 741503403 7,427 170,300 SH SOLE 170,300 0
------------------------------------------------------------------------------------------------------------------------------------
QUANTA SERVICES INC COMMON 74762E102 33,781 1,717,400 SH SOLE 1,717,400 0
------------------------------------------------------------------------------------------------------------------------------------
QWEST COMMUNICATION INTL
INC COMMON 749121109 4,543 542,722 SH SOLE 542,000 722
------------------------------------------------------------------------------------------------------------------------------------
REGIONS FINL CORP COMMON 7591EP100 4,858 129,900 SH SOLE 129,900 0
------------------------------------------------------------------------------------------------------------------------------------
RELIANCE STEEL & ALUMINUM
CO COMMON 759509102 27,531 699,100 SH SOLE 699,100 0
------------------------------------------------------------------------------------------------------------------------------------
REYNOLDS AMERICAN INC COMMON 761713106 4,779 73,000 SH SOLE 73,000 0
------------------------------------------------------------------------------------------------------------------------------------
ROYAL DUTCH SHELL PLC
-ADR ADR 780259206 4,736 66,900 SH SOLE 66,900 0
------------------------------------------------------------------------------------------------------------------------------------
RYDER SYSTEM INC COMMON 783549108 3,937 77,100 SH SOLE 77,100 0
------------------------------------------------------------------------------------------------------------------------------------
RYERSON INC COMMON 78375P107 21,206 845,200 SH SOLE 845,200 0
------------------------------------------------------------------------------------------------------------------------------------
SAFETY INSURANCE GROUP
INC COMMON 78648T100 4,194 82,700 SH SOLE 82,700 0
------------------------------------------------------------------------------------------------------------------------------------
Page 8 of 9 12/31/2006
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
SAIA INC COMMON 78709Y105 3,560 153,400 SH SOLE 153,400 0
------------------------------------------------------------------------------------------------------------------------------------
SASOL LTD -ADR ADR 803866300 4,808 130,300 SH SOLE 130,300 0
------------------------------------------------------------------------------------------------------------------------------------
THE CHARLES SCHWAB CORP COMMON 808513105 195 10,100 SH SOLE 0 10,100
------------------------------------------------------------------------------------------------------------------------------------
SIX FLAGS INC COMMON 83001P109 11,603 2,214,300 SH SOLE 2,214,300 0
------------------------------------------------------------------------------------------------------------------------------------
SOUTHERN COPPER CORP COMMON 84265V105 4,613 85,600 SH SOLE 85,600 0
------------------------------------------------------------------------------------------------------------------------------------
STANDARD PARKING CORP COMMON 853790103 5,566 144,900 SH SOLE 144,900 0
------------------------------------------------------------------------------------------------------------------------------------
STATOIL ASA -ADR ADR 85771P102 4,467 169,700 SH SOLE 169,700 0
------------------------------------------------------------------------------------------------------------------------------------
SUNOCO INC COMMON 86764P109 15,989 256,400 SH SOLE 256,400 0
------------------------------------------------------------------------------------------------------------------------------------
TESORO PETROLEUM CORP COMMON 881609101 21,073 320,400 SH SOLE 320,400 0
------------------------------------------------------------------------------------------------------------------------------------
TRINITY INDUSTRIES COMMON 896522109 26,583 755,200 SH SOLE 755,200 0
------------------------------------------------------------------------------------------------------------------------------------
U G I CORPORATION NEW COMMON 902681105 458 16,800 SH SOLE 0 16,800
------------------------------------------------------------------------------------------------------------------------------------
U S BANCORP COMMON 902973304 5,095 140,775 SH SOLE 140,700 75
------------------------------------------------------------------------------------------------------------------------------------
USG CORP COMMON 903293405 17,015 310,500 SH SOLE 310,500 0
------------------------------------------------------------------------------------------------------------------------------------
UNITED AUTO GROUP INC COMMON 909440109 6,326 268,400 SH SOLE 268,400 0
------------------------------------------------------------------------------------------------------------------------------------
UNIVERSAL TRUCKLOAD
SERVICES COMMON 91388P105 2,959 124,600 SH SOLE 124,600 0
------------------------------------------------------------------------------------------------------------------------------------
VF CORP COMMON 918204108 6,993 85,200 SH SOLE 85,200 0
------------------------------------------------------------------------------------------------------------------------------------
VALERO ENERGY CORP COMMON 91913Y100 19,896 388,900 SH SOLE 388,900 0
------------------------------------------------------------------------------------------------------------------------------------
VERIZON COMMUNICATIONS COMMON 92343V104 14,842 398,538 SH SOLE 385,175 13,363
------------------------------------------------------------------------------------------------------------------------------------
WABTEC CORP COMMON 929740108 24,596 809,600 SH SOLE 809,600 0
------------------------------------------------------------------------------------------------------------------------------------
WACHOVIA CORP COMMON 929903102 4,949 86,900 SH SOLE 86,900 0
------------------------------------------------------------------------------------------------------------------------------------
WASHINGTON MUTUAL INC COMMON 939322103 4,867 107,000 SH SOLE 107,000 0
------------------------------------------------------------------------------------------------------------------------------------
Page 9 of 9 12/31/2006
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
WATSCO INC COMMON 942622200 16,265 344,900 SH SOLE 344,900 0
------------------------------------------------------------------------------------------------------------------------------------
WATSON WYATT WORLDWIDE
INC COMMON 942712100 7,021 155,500 SH SOLE 155,500 0
------------------------------------------------------------------------------------------------------------------------------------
WELLCARE HEALTH PLANS INC COMMON 94946T106 7,565 109,800 SH SOLE 109,800 0
------------------------------------------------------------------------------------------------------------------------------------
WELLS FARGO & CO COMMON 949746101 5,872 165,138 SH SOLE 134,700 30,438
------------------------------------------------------------------------------------------------------------------------------------
WEST PHARMACEUTICAL SVSC
INC COMMON 955306105 8,520 166,300 SH SOLE 166,300 0
------------------------------------------------------------------------------------------------------------------------------------
WESTAMERICA BANCORP COMMON 957090103 475 9,383 SH SOLE 0 9,383
------------------------------------------------------------------------------------------------------------------------------------
WESTERN DIGITAL CORP COMMON 958102105 21,508 1,051,200 SH SOLE 1,051,200 0
------------------------------------------------------------------------------------------------------------------------------------
WEYERHAEUSER CO COMMON 962166104 4,995 70,700 SH SOLE 70,700 0
------------------------------------------------------------------------------------------------------------------------------------
WILD OATS MARKETS INC COMMON 96808B107 3,382 235,200 SH SOLE 235,200 0
------------------------------------------------------------------------------------------------------------------------------------
WIMM-BILL-DANN -ADR ADR 97263M109 7,141 107,300 SH SOLE 107,300 0
------------------------------------------------------------------------------------------------------------------------------------
WORLD FUEL SERVICES CORP COMMON 981475106 4,104 92,300 SH SOLE 92,300 0
------------------------------------------------------------------------------------------------------------------------------------
1,997,283
------------------------------------------------------------------------------------------------------------------------------------