Recurring Firm Events and Predictable Returns: The Within-Firm Time-Series

36 Pages Posted: 16 Oct 2017 Last revised: 5 Dec 2017

See all articles by Samuel M. Hartzmark

Samuel M. Hartzmark

University of Chicago - Booth School of Business

David H. Solomon

Boston College - Carroll School of Management

Multiple version iconThere are 2 versions of this paper

Date Written: October 12, 2017

Abstract

We review the literature on recurring firm events and predictable returns. Many common firm events recur on a predictable basis, such as earnings and dividends, among others. These events tend to be associated with large positive returns in the period when those events are predicted to occur (without conditioning on the outcome or existence of the event itself). These returns occur mainly on the long side of the portfolio, are statistically and economically large when value weighted, and replicate internationally. It is difficult to explain the patterns with a unified risk theory. Some of the underlying causes seem to be related to idiosyncratic risk, predictable attention, probability mistakes and demand for corporate distributions.

Keywords: Asset Pricing, Recurring Events, Return Predictability, Seasonality

JEL Classification: G02, G11, G12, G14

Suggested Citation

Hartzmark, Samuel M. and Solomon, David H., Recurring Firm Events and Predictable Returns: The Within-Firm Time-Series (October 12, 2017). Annual Review of Financial Economics, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3053015 or http://dx.doi.org/10.2139/ssrn.3053015

Samuel M. Hartzmark (Contact Author)

University of Chicago - Booth School of Business ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

David H. Solomon

Boston College - Carroll School of Management ( email )

140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States

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