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, 2011

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 31, 2011
-------------------------------------------------------------------------------
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 byother reporting manager(s).)


                             FORM 13F SUMMARY PAGE


Report Summary:


Number of Other Included Managers:                0
                                         -------------
Form 13F Information Table Entry Total:         210
                                         -------------
Form 13F Information Table Value Total:    $520,492
                                         -------------
                                          (thousands)


List of Other Included Managers:     NONE



                                                        FORM 13F INFORMATION TABLE

                                         Name of Reporting Manager: Hennessy Advisors, Inc.

                                                           Value   Shares/  Sh/ Put/ Invstmt    Other          Voting Authority
        Name of Issuer         Title of Class     CUSIP   (x1000)  Prn Amt  Prn Call Dscretn   Managers     Sole    Shared   None
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------
                                                                                                 
A T & T INC                   COM               00206R102   6,908   242,200  SH      SOLE                 242,200
AAR CORP                      COM               000361105     307    18,400  SH      SOLE                  18,400
AARON'S INC                   COM PAR $0.50     002535300     513    20,300  SH      SOLE                  20,300
ABBOTT LABORATORIES           COM               002824100   2,322    45,400  SH      SOLE                  45,400
ADVANCE AUTO PARTS INC        COM               00751Y106   6,205   106,800  SH      SOLE                 106,800
AETNA INC                     COM               00817Y108   1,425    39,200  SH      SOLE                  39,200
AIR TRANSPORT SERVICES GROUP  COM               00922R105   1,913   441,700  SH      SOLE                 441,700
ALTRA HOLDINGS INC            COM               02208R106     257    22,250  SH      SOLE                  22,250
ALTRIA GROUP INC              COM               02209S103   2,373    88,500  SH      SOLE                  88,500
AMC NETWORKS                  CL A              00164V103     381    11,925  SH      SOLE                  11,925
AMERCO                        COM               023586100   2,105    33,700  SH      SOLE                  33,700
AMERIGROUP CORP               COM               03073T102   5,173   132,600  SH      SOLE                 132,600
AMTRUST FINANCIAL SERVICES    COM               032359309     528    23,700  SH      SOLE                  23,700
ANN, INC                      COM               035623107   3,008   131,700  SH      SOLE                 131,700
APOLLO GROUP INC              CL A              037604105   1,588    40,100  SH      SOLE                  40,100
APPLIED INDUSTRIAL TECH INC   COM               03820C105   4,397   161,900  SH      SOLE                 161,900
APPLIED MATERIALS INC         COM               038222105   1,164   112,400  SH      SOLE                 112,400
ASHFORD HOSPITALITY TRUST     COM SHS           044103109   2,429   346,000  SH      SOLE                 346,000
ATLAS PIPELINE HOLDINGS LP    COM UNITS LP      04930A104   4,427   238,400  SH      SOLE                 238,400
ATLAS PIPELINE PARTNER LP     UNIT L P INT      049392103   4,239   141,900  SH      SOLE                 141,900
AUTOLIV INC                   COM               052800109   4,879   100,600  SH      SOLE                 100,600
AUTOMATIC DATA PROCESSING     COM               053015103   2,268    48,100  SH      SOLE                  48,100
AUTONATION INC                COM               05329W102     469    14,300  SH      SOLE                  14,300
AXCELIS TECHNOLOGIES INC      COM               054540109      15    12,400  SH      SOLE                  12,400
BCE INC                       COM NEW           05534B760   2,495    66,600  SH      SOLE                  66,600
BEST BUY CO INC               COM               086516101   1,284    55,100  SH      SOLE                  55,100
BOEING CO                     COM               097023105   1,283    21,200  SH      SOLE                  21,200
BORGWARNER INC                COM               099724106   9,291   153,500  SH      SOLE                 153,500
BRISTOL MYERS SQUIBB          COM               110122108   2,605    83,000  SH      SOLE                  83,000
BUCKEYE TECHNOLOGIES INC      COM               118255108   4,050   168,000  SH      SOLE                 168,000
CABELAS INC                   COM               126804301     420    20,500  SH      SOLE                  20,500
CABLEVISION SYS CORP          CL A NY CABLVS    12686C109     562    35,700  SH      SOLE                  35,700
CAMPBELL SOUP CO              COM               134429109   3,651   112,800  SH      SOLE                 112,800
CASCADE CORP                  COM               147195101     351    10,500  SH      SOLE                  10,500
CASH AMERICA INTL INC         COM               14754D100     504     9,850  SH      SOLE                   9,850
CBS CORP                      CL B              124857202     413    20,250  SH      SOLE                  20,250
CENTURYLINK INC               COM               156700106   1,709    51,600  SH      SOLE                  51,600
CHEVRON CORP                  COM               166764100   6,574    71,000  SH      SOLE                  71,000
CHICOS FAS INC                COM               168615102     411    36,000  SH      SOLE                  36,000
CHINA MOBILE LTD              SPONSORED ADR     16941M109   2,075    42,600  SH      SOLE                  42,600
CIGNA CORP                    COM               125509109   1,472    35,100  SH      SOLE                  35,100
CIMAREX ENERGY CO             COM               171798101   1,008    18,100  SH      SOLE                  18,100
CLIFFS NATURAL RESOURCES INC  COM               18683K101   1,003    19,600  SH      SOLE                  19,600
COMMERCIAL VEHICLE GROUP INC  COM               202608105   1,322   201,200  SH      SOLE                 201,200
COMP SIDERURGICA NAC          SPONSORED ADR     20440W105   1,021   128,600  SH      SOLE                 128,600
COMPLETE PRODUCTION SERVICES  COM               20453E109   4,245   225,200  SH      SOLE                 225,200
CONAGRA FOODS INC             COM               205887102   2,449   101,100  SH      SOLE                 101,100
CONOCOPHILLIPS                COM               20825C104   2,229    35,200  SH      SOLE                  35,200
CORN PRODUCTS INTL INC        COM               219023108     392    10,000  SH      SOLE                  10,000
COST PLUS INC                 COM               221485105   2,158   342,600  SH      SOLE                 342,600
COVENTRY HEALTH CARE INC      COM               222862104     439    15,250  SH      SOLE                  15,250
CPI CORP                      COM               125902106     765   123,400  SH      SOLE                 123,400
CROCS INC                     COM               227046109   8,520   359,800  SH      SOLE                 359,800
CROSSTEX ENERGY INC           COM               22765Y104     585    43,400  SH      SOLE                  43,400
CVR ENERGY INC                COM               12662P108     450    21,300  SH      SOLE                  21,300
DDI CORP                      COM 0.0001 NEW    233162502   2,215   305,950  SH      SOLE                 305,950
DELL INC                      COM               24702R101   1,417   100,200  SH      SOLE                 100,200
DFC GLOBAL CORP               COM               23324T107     558    25,550  SH      SOLE                  25,550
DIAGEO PLC                    SPON ADR NEW      25243Q205   2,225    29,300  SH      SOLE                  29,300
DIAMOND OFFSHRE DRILLING INC  COM               25271C102   1,314    24,000  SH      SOLE                  24,000
DILLARDS INC                  CL A              254067101   4,626   106,400  SH      SOLE                 106,400
DINEEQUITY INC                COM               254423106   2,444    63,500  SH      SOLE                  63,500
DIRECTV                       COM CL A          25490A101   1,433    33,900  SH      SOLE                  33,900
DISH NETWORK CORP             CL A              25470M109   1,888    75,350  SH      SOLE                  75,350
DOLLAR TREE INC               COM               256746108   7,559   100,600  SH      SOLE                 100,600
DOMINO'S PIZZA INC            COM               25754A201     597    21,900  SH      SOLE                  21,900
DSW INC                       CL A              23334L102     476    10,300  SH      SOLE                  10,300
DU PONT (E I) DE NEMOURS      COM               263534109   5,976   149,500  SH      SOLE                 149,500
DYCOM INDUSTRIES INC          COM               267475101     496    32,400  SH      SOLE                  32,400
EASTMAN CHEMICAL CO           COM               277432100   1,083    15,800  SH      SOLE                  15,800
EDUCATION MANAGEMENT CORP     COM               28140M103     318    21,400  SH      SOLE                  21,400
EMCORE CORP                   COM               290846104      15    15,360  SH      SOLE                  15,360
ENI SPA                       SPONSORED ADR     26874R108   1,732    49,300  SH      SOLE                  49,300
ENPRO INDUSTRIES INC          COM               29355X107     338    11,400  SH      SOLE                  11,400
ENTERPRISE PRODS PRTNER  -LP  COM               293792107   2,028    50,500  SH      SOLE                  50,500
EXXON MOBIL CORP              COM               30231G102   1,503    20,700  SH      SOLE                  20,700
FAMILY DOLLAR STORES          COM               307000109   5,645   111,000  SH      SOLE                 111,000
FERRO CORP                    COM               315405100   2,386   387,900  SH      SOLE                 387,900
FINISH LINE INC               CL A              317923100     496    24,800  SH      SOLE                  24,800
FOOT LOCKER INC               COM               344849104     482    24,000  SH      SOLE                  24,000
FOREST LABORATORIES           COM               345838106   1,536    49,900  SH      SOLE                  49,900
FRANCE TELECOM                SPONSORED ADR     35177Q105   1,563    95,500  SH      SOLE                  95,500
FREEPORT-MCMORAN COP&GOLD     COM               35671D857   1,057    34,700  SH      SOLE                  34,700
GAP INC                       COM               364760108   1,190    73,300  SH      SOLE                  73,300
GENERAL COMMUNICATION         CL A              369385109   2,321   283,000  SH      SOLE                 283,000
GENERAL DYNAMICS CORP         COM               369550108   1,274    22,400  SH      SOLE                  22,400
GENERAL ELECTRIC CO.          COM               369604103   3,460   227,350  SH      SOLE                 227,350
GENERAL MILLS INC             COM               370334104   4,007   104,100  SH      SOLE                 104,100
GENESCO INC                   COM               371532102     531    10,300  SH      SOLE                  10,300
GILEAD SCIENCES INC           COM               375558103   1,595    41,100  SH      SOLE                  41,100
GLAXOSMITHKLINE PLC           SPONSORED ADR     37733W105   2,300    55,700  SH      SOLE                  55,700
GOODYEAR TIRE & RUBBER CO     COM               382550101     316    31,300  SH      SOLE                  31,300
GRACE (W R) & CO              COM               38388F108     405    12,150  SH      SOLE                  12,150
GREENBRIER COMPANIES INC      COM               393657101   1,795   154,100  SH      SOLE                 154,100
GRUPO FINANCIERO GALICIA      SP ADR 10 SH B    399909100   1,889   228,100  SH      SOLE                 228,100
HARRIS CORP                   COM               413875105   1,172    34,300  SH      SOLE                  34,300
HCA HOLDINGS INC              COM               40412C101     978    48,500  SH      SOLE                  48,500
HEALTHSPRING INC              COM               42224N101   8,061   221,100  SH      SOLE                 221,100
HEINZ (H J) CO                COM               423074103   2,292    45,400  SH      SOLE                  45,400
HEWLETT-PACKARD CO            COM               428236103     916    40,800  SH      SOLE                  40,800
HOLLYFRONTIER CORP            COM               436106108     409    15,600  SH      SOLE                  15,600
HSN INC                       COM               404303109   5,278   159,300  SH      SOLE                 159,300
HUMANA INC                    COM               444859102   1,556    21,400  SH      SOLE                  21,400
IDT CORP                      CL B NEW          448947507   2,499   122,500  SH      SOLE                 122,500
INNOPHOS HOLDINGS INC         COM               45774N108     453    11,350  SH      SOLE                  11,350
INNOSPEC INC                  COM               45768S105   3,927   162,200  SH      SOLE                 162,200
INTEL CORP                    COM               458140100   8,828   413,800  SH      SOLE                 413,800
INTERFACE INC                 CL A              458665106   2,691   226,900  SH      SOLE                 226,900
INTL BUSINESS MACHINES CORP   COM               459200101   1,731     9,900  SH      SOLE                   9,900
IPASS INC                     COM               46261V108      27    22,080  SH      SOLE                  22,080
ISTAR FINANCIAL INC           COM               45031U101   2,943   505,600  SH      SOLE                 505,600
JOHNSON & JOHNSON             COM               478160104   7,022   110,250  SH      SOLE                 110,250
JONES LANG LASALLE INC        COM               48020Q107   3,062    59,100  SH      SOLE                  59,100
KELLOGG CO                    COM               487836108   2,383    44,800  SH      SOLE                  44,800
KEMET CORP                    COM NEW           488360207   1,961   274,200  SH      SOLE                 274,200
KIMBERLY-CLARK CORP           COM               494368103   4,253    59,900  SH      SOLE                  59,900
KRAFT FOODS INC               CL A              50075N104   6,572   195,700  SH      SOLE                 195,700
KRISPY KREME DOUGHNUTS INC    COM               501014104   3,325   487,590  SH      SOLE                 487,590
KT CORP                       SPONSORED ADR     48268K101   1,474    99,700  SH      SOLE                  99,700
LAM RESEARCH CORP             COM               512807108   1,348    35,500  SH      SOLE                  35,500
LEXMARK INTL INC              CL A              529771107   3,103   114,800  SH      SOLE                 114,800
LIBBEY INC                    COM               529898108   2,571   243,900  SH      SOLE                 243,900
LILLY (ELI) & CO              COM               532457108   3,952   106,900  SH      SOLE                 106,900
LIMITED BRANDS INC            COM               532716107   1,540    40,000  SH      SOLE                  40,000
LITHIA MOTORS INC             CL A              536797103     400    27,800  SH      SOLE                  27,800
LOCKHEED MARTIN CORP          COM               539830109   3,821    52,600  SH      SOLE                  52,600
LSB INDUSTRIES INC            COM               502160104     364    12,700  SH      SOLE                  12,700
MACQUARIE INFRASTRUCT CO LLC  MEMBERSHIP INT    55608B105     476    21,200  SH      SOLE                  21,200
MAGELLAN HEALTH SERVICES INC  COM NEW           559079207   5,187   107,400  SH      SOLE                 107,400
MAGNETEK INC                  COM               559424106      15    16,280  SH      SOLE                  16,280
MARSH & MCLENNAN COS          COM               571748102   2,278    85,800  SH      SOLE                  85,800
MATERION CORP                 COM               576690101   2,084    91,900  SH      SOLE                  91,900
MATTEL INC                    COM               577081102   4,044   156,200  SH      SOLE                 156,200
MCDONALD'S CORPORATION        COM               580135101   2,924    33,300  SH      SOLE                  33,300
MEDCATH CORP                  COM               58404W109   3,637   262,060  SH      SOLE                 262,060
MENS WEARHOUSE INC            COM               587118100     434    16,650  SH      SOLE                  16,650
MERCER INTL INC               COM               588056101   3,534   519,700  SH      SOLE                 519,700
MERCK & CO                    COM               58933Y105   6,810   208,250  SH      SOLE                 208,250
MERITOR INC                   COM               59001K100   2,352   333,100  SH      SOLE                 333,100
METROPCS COMMUNICATIONS INC   COM               591708102     286    32,900  SH      SOLE                  32,900
MICROSOFT CORP                COM               594918104   1,645    66,100  SH      SOLE                  66,100
MOBILE TELESYSTEMS - SP ADR   SPONSORED ADR     607409109   1,256   102,100  SH      SOLE                 102,100
MRV COMMUNICATIONS INC        COM               553477100      24    19,310  SH      SOLE                  19,310
MUELLER INDUSTRIES            COM               624756102     473    12,250  SH      SOLE                  12,250
NACCO INDUSTRIES              CL A              629579103   2,086    32,900  SH      SOLE                  32,900
NEWCASTLE INVESTMENT CORP     COM               65105M108   2,426   596,100  SH      SOLE                 596,100
NEWMONT MINING CORP           COM               651639106   1,977    31,400  SH      SOLE                  31,400
NEWPORT CORP                  COM               651824104   2,232   206,500  SH      SOLE                 206,500
NOKIA CORP                    SPONSORED ADR     654902204   1,200   212,000  SH      SOLE                 212,000
NORDSTROM INC                 COM               655664100   1,571    34,400  SH      SOLE                  34,400
OPNEXT INC                    COM               68375V105      13    10,710  SH      SOLE                  10,710
OXFORD INDUSTRIES INC         COM               691497309     527    15,350  SH      SOLE                  15,350
PENSKE AUTOMOTIVE GROUP INC   COM               70959W103     381    23,800  SH      SOLE                  23,800
PETROCHINA CO LTD             SPONSORED ADR     71646E100   2,036    16,900  SH      SOLE                  16,900
PFIZER INC                    COM               717081103   7,091   401,100  SH      SOLE                 401,100
PHILIP MORRIS INTERNATIONAL   COM               718172109   2,296    36,800  SH      SOLE                  36,800
PIER 1 IMPORTS INC/DE         COM               720279108   3,274   334,800  SH      SOLE                 334,800
PITNEY BOWES INC              COM               724479100   1,762    93,700  SH      SOLE                  93,700
POLYONE CORP                  COM               73179P106   4,581   427,700  SH      SOLE                 427,700
POWER-ONE INC                 COM               73930R102   1,426   316,800  SH      SOLE                 316,800
PRICESMART INC                COM               741511109   6,269   100,600  SH      SOLE                 100,600
PROCTER & GAMBLE CO           COM               742718109   3,443    54,500  SH      SOLE                  54,500
PROGRESSIVE CORP-OHIO         COM               743315103   1,392    78,400  SH      SOLE                  78,400
QUAKER CHEMICAL CORP          COM               747316107   2,236    86,260  SH      SOLE                  86,260
QUIKSILVER INC                COM               74838C106   2,119   694,700  SH      SOLE                 694,700
RAYTHEON CO                   COM NEW           755111507   3,310    81,000  SH      SOLE                  81,000
ROCHE HOLDING LTD             ADR               771195104   2,425    60,300  SH      SOLE                  60,300
ROCKWOOD HOLDINGS INC         COM               774415103   5,520   163,850  SH      SOLE                 163,850
ROYAL DUTCH SHELL PLC         SPONS ADR A       780259206   2,055    33,400  SH      SOLE                  33,400
RUBY TUESDAY INC              COM               781182100   1,848   258,100  SH      SOLE                 258,100
SALLY BEAUTY HOLDINGS INC     COM               79546E104     530    31,900  SH      SOLE                  31,900
SANOFI-AVENTIS                SPONSORED ADR     80105N105   2,132    65,000  SH      SOLE                  65,000
SAUER-DANFOSS INC             COM               804137107   3,243   112,200  SH      SOLE                 112,200
SONIC AUTOMOTIVE INC          CL A              83545G102     408    37,850  SH      SOLE                  37,850
STATOIL ASA                   SPONSORED ADR     85771P102   2,215   102,800  SH      SOLE                 102,800
SUNOPTA INC                   COM               8676EP108   2,314   469,300  SH      SOLE                 469,300
SYKES ENTERPRISES INC         COM               871237103     410    27,400  SH      SOLE                  27,400
SYSCO CORP                    COM               871829107   3,351   129,400  SH      SOLE                 129,400
TAIWAN SEMICONDUCTOR          SPONSORED ADR     874039100   2,259   197,600  SH      SOLE                 197,600
TELEFONICA SA                 SPONSORED ADR     879382208   1,700    88,900  SH      SOLE                  88,900
TENNECO INC                   COM               880349105   6,641   259,300  SH      SOLE                 259,300
TEXAS INSTRUMENTS INC         COM               882508104   1,279    48,000  SH      SOLE                  48,000
TIMKEN CO                     COM               887389104   3,463   105,500  SH      SOLE                 105,500
TITAN INTERNATIONAL INC       COM               88830M102   2,853   190,200  SH      SOLE                 190,200
TJX COMPANIES INC             COM               872540109   1,742    31,400  SH      SOLE                  31,400
TORO CO                       COM               891092108   4,232    85,900  SH      SOLE                  85,900
TOTAL SA                      SPONSORED ADR     89151E109   1,786    40,700  SH      SOLE                  40,700
TPC GROUP INC                 COM               89236Y104   2,797   139,300  SH      SOLE                 139,300
TRACTOR SUPPLY CO             COM               892356106  13,019   208,200  SH      SOLE                 208,200
TRAVELERS COS INC / THE       COM               89417E109   1,243    25,500  SH      SOLE                  25,500
TRIMAS CORP                   COM NEW           896215209   2,663   179,300  SH      SOLE                 179,300
TRW AUTOMOTIVE HOLDINGS CORP  COM               87264S106   7,531   230,100  SH      SOLE                 230,100
TUESDAY MORNING CORP          COM NEW           899035505   2,250   639,300  SH      SOLE                 639,300
ULTA SALON COSMETCS & FRAG    COM               90384S303   9,310   149,600  SH      SOLE                 149,600
UNITED CONTINENTAL HLDGS INC  COM               910047109   6,835   352,700  SH      SOLE                 352,700
UNITED RENTALS INC            COM               911363109   2,528   150,100  SH      SOLE                 150,100
UNITEDHEALTH GROUP INC        COM               91324P102   1,545    33,500  SH      SOLE                  33,500
UNVL STAINLESS & ALLOY PRODS  COM               913837100     329    12,930  SH      SOLE                  12,930
US AIRWAYS GROUP INC          COM               90341W108   4,688   852,300  SH      SOLE                 852,300
VALASSIS COMMUNICATIONS INC   COM               918866104   2,699   144,000  SH      SOLE                 144,000
VALUEVISION MEDIA INC         CL A              92047K107     165    70,100  SH      SOLE                  70,100
VERIZON COMMUNICATIONS        COM               92343V104   7,783   211,500  SH      SOLE                 211,500
VODAFONE GROUP PLC            SPONSORED ADR NEW 92857W209   2,012    78,400  SH      SOLE                  78,400
WALGREEN CO                   COM               931422109   1,250    38,000  SH      SOLE                  38,000
WAL-MART STORES INC           COM               931142103   1,578    30,400  SH      SOLE                  30,400
WASTE MANAGEMENT INC          COM               94106L109   2,035    62,500  SH      SOLE                  62,500
WESTELL TECH INC              CL A              957541105      23    10,580  SH      SOLE                  10,580
WESTERN REFINING INC          COM               959319104   4,471   358,800  SH      SOLE                 358,800
WILLIAMS-SONOMA INC           COM               969904101   4,806   156,100  SH      SOLE                 156,100
WYNDHAM WORLDWIDE CORP        COM               98310W108   4,989   175,000  SH      SOLE                 175,000
TOTAL                                                     520,492