סמינר במימון חשבונאות

(Speaker: Feng Zhang (University of Utah

co-authors: Hendrik Bessembinder , Michael J. Cooper 

 Abstract: We propose that expected returns estimated for the broad market based on observable firm characteristics provide a simple and useful benchmark for assessing whether returns to a given set of stocks are abnormal.  As an important illustration, we document that the apparently abnormal long-run returns after corporate events, including initial and secondary public equity offerings, mergers and acquisitions, dividend initiations, share repurchases and stock splits, are substantially reduced or eliminated when event stock returns are compared to characteristic-based expected returns.   A simple five-characteristic specification relying only on firm size, book-to-market ratio, profitability, asset growth, and return momentum performs as well as more complex specifications.   This analysis supports the conclusion that returns after corporate events are largely explained by the characteristics of the firms engaging in the events. 

The article will be  available from the finance-accounting seminar website:

https://en-recanati.tau.ac.il/Finance-Accounting-Seminars