Characteristic-Based Benchmark Returns and Corporate Events

• 成果类型: Article
• 署名作者: Bessembinder, Hendrik; Cooper, Michael J.; Zhang, Feng
• 署名单位: Arizona State University; Arizona State University-Tempe; Utah System of Higher Education; University of Utah
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy037
• 发表日期: 2019
• 页码: 75
• 关键词: RUN STOCK RETURNS; cross-section; DIVIDEND INITIATIONS; performance; underreaction; RISK; equilibrium; INFORMATION; persistence; anomalies

摘要

We propose that fitted values from market-wide regressions of firm returns on lagged firm characteristics provide useful benchmarks for assessing whether average returns to certain stocks are abnormal. To illustrate, we study eight documented events with abnormal returns, including credit rating and analyst recommendation downgrades, initial and seasoned public equity offerings, mergers and acquisitions, dividend initiations, share repurchases, and stock splits. We show that the apparently abnormal returns in the months after these events are substantially reduced or eliminated when compared to characteristic-based benchmarks. Characteristic-based benchmarks perform better in explaining post-event returns than do recent four- and five-factor models. Received September 19, 2016; editorial decision February 16, 2018 by Editor Andrew Karolyi. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web Site next to the link to the final published paper online.