Most Admired Companies: Admirable Performance
University of Maryland, Eastern Shore; University of Maryland, College Park
May 25, 2012
Journal of Applied Finance and Banking, Forthcoming
This paper shows that most admired companies generate admirable stock performance relative to the market. The current study analyses risk premiums and risk-adjusted excess returns of a portfolio of firms ranked as the most admired companies in the United States from 2006 to 2011. The results show that average risk premiums of an equal-weighted portfolio of most admired firms are economically superior than the market risk premiums from 2006 to 2011 (except 2010). For the 1-year holding period, the portfolio average risk-adjusted excess returns are all positive, but 2010, and some even statistically significant. The portfolio exhibits average positive risk-adjusted excess returns for the 3-year holding period intervals; the alphas are statistically significant for the 2006-2008 period.
Number of Pages in PDF File: 9
Keywords: Risk adjusted excess returns, most admired companies, efficient market hypothesis
JEL Classification: G11, G12, G14Accepted Paper Series
Date posted: May 26, 2012 ; Last revised: August 2, 2012
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