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

Posted: 8 Nov 2018

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: November 2018

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 the 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 observed 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.

Suggested Citation

Hartzmark, Samuel M. and Solomon, David H., Recurring Firm Events and Predictable Returns: The Within-Firm Time Series (November 2018). Annual Review of Financial Economics, Vol. 10, pp. 499-517, 2018. Available at SSRN: https://ssrn.com/abstract=3280813 or http://dx.doi.org/10.1146/annurev-financial-110217-022605

Samuel M. Hartzmark

University of Chicago - Booth School of Business ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

David H. Solomon (Contact Author)

Boston College - Carroll School of Management ( email )

140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States

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