Title
Firm Characteristics, Return Predictability, and Long-Run Abnormal Returns in Global Stock Markets
Publication Date
9-4-2022
Abstract
We show that characteristics known to predict returns to U.S. stocks also predict returns for a broad sample of nearly 52,000 stocks from fifty-eight non-U.S. countries, and we evaluate the extent to which six prominent corporate events, including initial and secondary stock offerings, stock repurchases, dividend initiations, stock splits, and merger announcements, are associated with apparently abnormal post-event returns for non-U.S. stocks. We then show that the apparently abnormal post-event returns are substantially reduced or eliminated when event firm returns are compared to expected returns that are based on relations between returns and characteristics estimated using all firms in the country.
Document Type
Article
Keywords
abnormal returns, corporate events, international stocks, predicted returns, firm characteristics
Disciplines
Finance
DOI
10.2139/ssrn.4181881
Source
SMU Cox: Finance (Topic)
Language
English