Abstract

http://ssrn.com/abstract=2097989
 
 

References (41)



 
 

Citations (2)



 


 



Firm Characteristics and Long-Run Stock Returns after Corporate Events


Hendrik Bessembinder


University of Utah - Department of Finance

Feng Zhang


University of Utah - Department of Finance

December 27, 2012

Journal of Financial Economics (JFE), Forthcoming

Abstract:     
The well-documented abnormal long-run buy-and-hold returns to firms issuing equity in initial public offerings and seasoned equity offerings, firms bidding in mergers, and firms initiating dividends can be attributed to imperfect control-firm matching. In addition to firm size and market-to-book ratio, event firms on average differ from control firms in terms of idiosyncratic volatility, liquidity, return momentum, and capital investment, each of which also explains returns. We propose a simple regression-based approach to control for differences in firm characteristics across event and control firms, and we show that long-run abnormal returns do not differ significantly from zero for event firms in the 1980 to 2005 period. The returns to event firms are, therefore, consistent with patterns known to exist for the broad stock market and do not require event-specific explanations.

Number of Pages in PDF File: 49

Keywords: firm characteristics, long-run stock returns, BHARs, wealth relative, calendar time portfolio method, event study

JEL Classification: G14, G32, G34, G35

Accepted Paper Series


Download This Paper

Date posted: July 3, 2012 ; Last revised: February 4, 2013

Suggested Citation

Bessembinder, Hendrik and Zhang, Feng, Firm Characteristics and Long-Run Stock Returns after Corporate Events (December 27, 2012). Journal of Financial Economics (JFE), Forthcoming. Available at SSRN: http://ssrn.com/abstract=2097989 or http://dx.doi.org/10.2139/ssrn.2097989

Contact Information

Hendrik (Hank) Bessembinder (Contact Author)
University of Utah - Department of Finance ( email )
David Eccles School of Business
Salt Lake City, UT 84112
United States
Feng Zhang
University of Utah - Department of Finance ( email )
David Eccles School of Business
Salt Lake City, UT 84112-9303
United States
Feedback to SSRN


Paper statistics
Abstract Views: 864
Downloads: 215
Download Rank: 82,440
References:  41
Citations:  2

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.360 seconds