The persistence of abnormal returns at industry and firm levels

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Bou, Juan Carlos; Satorra, Albert. The persistence of abnormal returns at industry and firm levels. 2003
To cite or link this document: Bou, Juan Carlos Satorra, Albert
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa 2003-11-01
dc.description.abstract The present paper proposes a model for the persistence of abnormal returns both at firm and industry levels, when longitudinal data for the profits of firms classiffied as industries are available. The model produces a two- way variance decomposition of abnormal returns: (a) at firm versus industry levels, and (b) for permanent versus transitory components. This variance decomposition supplies information on the relative importance of the fundamental components of abnormal returns that have been discussed in the literature. The model is applied to a Spanish sample of firms, obtaining results such as: (a) there are significant and permanent differences between profit rates both at industry and firm levels; (b) variation of abnormal returns at firm level is greater than at industry level; and (c) firm and industry levels do not differ significantly regarding rates of convergence of abnormal returns.
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 729
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.title The persistence of abnormal returns at industry and firm levels
dc.type info:eu-repo/semantics/workingPaper 2014-06-03T07:14:10Z
dc.subject.keyword Statistics, Econometrics and Quantitative Methods
dc.subject.keyword returns of assets
dc.subject.keyword abnormal returns
dc.subject.keyword persistence
dc.subject.keyword two-level
dc.subject.keyword structural equations
dc.rights.accessRights info:eu-repo/semantics/openAccess

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