Firm Characteristics, Return Predictability, and Long-Run Abnormal Returns in Global Stock Markets
Publication Date
6-22-2023
Abstract
We conduct the most comprehensive examination of returns to non-U.S. firms following corporate events to date, documenting apparently abnormal returns in the wake of initial and secondary stock offerings, stock repurchases, dividend initiations, stock splits, and merger announcements. These abnormal returns are substantially explained by benchmark returns that are based on the relation between returns and characteristics estimated for all firms in the country, implying that no firm- or event-specific explanations are required. However, the ability of firm characteristics to explain post-event returns does not reflect that characteristics can predict firms’ exposures to latent risk factors. Our findings suggest that conclusions previously drawn from long-horizon event studies, particularly regarding abnormal returns and their implications for managerial, investor behavior, and corporate finance theories, may need reevaluation.
Document Type
Article
Keywords
international, firm characteristics, abnormal returns, covariance risk, corporate events
Disciplines
Finance
DOI
10.2139/ssrn.4181881
Source
SMU Cox: Finance (Topic)
Language
English
