Abstract

http://ssrn.com/abstract=2020471
 


 



Thirty Years of Shareholder Rights and Stock Returns


Martijn Cremers


University of Notre Dame

Allen Ferrell


Harvard Law School; European Corporate Governance Institute (ECGI)

March 12, 2012

AFA 2013 San Diego Meetings Paper

Abstract:     
This paper explores the robustness of the positive association between shareholder rights and abnormal stock returns (using the Fama-French-Cahart four factor model) and potential explanations thereof. Utilizing hand-collected shareholder rights data for the 1978-1989 period in conjunction with the existing post-1990 RiskMetrics data, we document that: (1) over the 1978-2007, the association is generally robust to a variety of controls and estimating abnormal returns at the portfolio or firm-level; (2) this association co-varies with merger and acquisition (M&A) waves; (3) while being acquired and making acquisitions are both strongly associated with abnormal stock returns, these effects do not explain the positive association; and (4) once the four factor model is supplemented with the Cremers, Nair & John (2009) takeover factor – which captures risk associated with time-varying investment opportunities and thus relates to the state of the M&A market – the association disappears.

Number of Pages in PDF File: 42

Keywords: G-Index, abnormal stock returns, robustness, takeover factor, shareholder rights

JEL Classification: G12, G34

working papers series


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Date posted: March 13, 2012 ; Last revised: September 24, 2013

Suggested Citation

Cremers, Martijn and Ferrell, Allen, Thirty Years of Shareholder Rights and Stock Returns (March 12, 2012). AFA 2013 San Diego Meetings Paper. Available at SSRN: http://ssrn.com/abstract=2020471 or http://dx.doi.org/10.2139/ssrn.2020471

Contact Information

K. J. Martijn Cremers (Contact Author)
University of Notre Dame ( email )
P.O. Box 399
Notre Dame, IN 46556-0399
United States
Allen Ferrell
Harvard Law School ( email )
Griswold 303 1525 Massachusetts Avenue
Cambridge, MA 02138
United States
(617) 495-8961 (Phone)
(617) 495-1110 (Fax)
European Corporate Governance Institute (ECGI)
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
HOME PAGE: http://www.ecgi.org
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