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Wealth Gains from Tracking Stocks: Long-Run Performance and Ex-Date Returns


Matthew J. Clayton


University of Virginia - McIntire School of Commerce

Yiming Qian


University of Iowa - Department of Finance

Financial Management, Vol. 33, No. 3, 2004

Abstract:     
We examine the long-run performance of the tracking stocks, the parent stocks, and the combined companies following the issue of tracking stock, as well as the performance of the firms prior to the tracking stock issue. Our results indicate that the long-run performance is not significantly different from benchmark portfolio returns. Investigation of the ex-date returns for firms issuing tracking stocks reveals a significant mean ex-date abnormal return of 3.12 percentage points. The results suggest that the wealth gains due to the announcement effect are permanent, and they underestimate the total wealth gains from the tracking stock issues.

Number of Pages in PDF File: 24

Accepted Paper Series


Date posted: August 20, 2004  

Suggested Citation

Clayton, Matthew J. and Qian, Yiming, Wealth Gains from Tracking Stocks: Long-Run Performance and Ex-Date Returns. Financial Management, Vol. 33, No. 3, 2004. Available at SSRN: http://ssrn.com/abstract=578624

Contact Information

Matthew J. Clayton (Contact Author)
University of Virginia (UVA) - McIntire School of Commerce ( email )
P.O. Box 400173
Charlottesville, VA 22904-4173
United States
434-243-4043 (Phone)
434-924-7074 (Fax)
Yiming Qian
University of Iowa - Department of Finance ( email )
S382 Pappajohn Building
Iowa City, IA 52242
United States
319-335-0934 (Phone)
319-335-3690 (Fax)
Feedback to SSRN (Beta)


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