Journal of Applied Finance and Banking, 2(6), 191-199, 2013
9 Pages Posted: 26 May 2012 Last revised: 14 Jul 2013
Date Written: May 25, 2012
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: 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