Most Admired Companies: Admirable Performance

Journal of Applied Finance and Banking, 2(6), 191-199, 2013

9 Pages Posted: 26 May 2012 Last revised: 14 Jul 2013

Vichet Sum

University of Maryland Eastern Shore - School of Business and Technology

Date Written: May 25, 2012

Abstract

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.

Keywords: Risk adjusted excess returns, most admired companies, efficient market hypothesis

JEL Classification: G11, G12, G14

Suggested Citation

Sum, Vichet, Most Admired Companies: Admirable Performance (May 25, 2012). Journal of Applied Finance and Banking, 2(6), 191-199, 2013. Available at SSRN: https://ssrn.com/abstract=2066276 or http://dx.doi.org/10.2139/ssrn.2066276

Vichet Sum (Contact Author)

University of Maryland Eastern Shore - School of Business and Technology ( email )

2105 Kiah Hall
Princess Anne, MD 21853
United States
410-651-6531 (Phone)
410-651-6529 (Fax)

HOME PAGE: http://www.umes.edu/bma/Sum.html

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