Recurring Firm Events and Predictable Returns: The Within-Firm Time Series
| Autor: | Samuel M. Hartzmark, David H. Solomon |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
040101 forestry
Economics and Econometrics 050208 finance Earnings Financial economics 05 social sciences 04 agricultural and veterinary sciences Outcome (probability) 0502 economics and business Systematic risk Value (economics) Economics 0401 agriculture forestry and fisheries Dividend Portfolio Capital asset pricing model Finance Event (probability theory) |
| Zdroj: | Annual Review of Financial Economics. 10:499-517 |
| ISSN: | 1941-1375 1941-1367 |
| DOI: | 10.1146/annurev-financial-110217-022605 |
| Popis: | We review the literature on recurring firm events and predictable returns. Many common firm events recur on a predictable basis, such as earnings and dividends, among others. These events tend to be associated with large positive returns in the period when the events are predicted to occur (without conditioning on the outcome or existence of the event itself). These returns occur mainly on the long side of the portfolio, are statistically and economically large when value weighted, and replicate internationally. It is difficult to explain the observed patterns with a unified risk theory. Some of the underlying causes seem to be related to idiosyncratic risk, predictable attention, probability mistakes, and demand for corporate distributions. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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