Universitat de Lleida
    • English
    • català
    • español
  • English 
    • English
    • català
    • español
  • Login
Repositori Obert UdL
View Item 
  •   Home
  • Recerca
  • Administració d'Empreses
  • Articles publicats (Administració d'Empreses)
  • View Item
  •   Home
  • Recerca
  • Administració d'Empreses
  • Articles publicats (Administració d'Empreses)
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

The persistence of abnormal return on assets: an exploratory analysis of the performance of firms by country and sector

Thumbnail
View/Open
Postprint (309.3Kb)
Issue date
2014
Author
Gallizo Larraz, José Luis
Gargallo Valero, Pilar
Saladrigues Solé, Ramon
Salvador Figueras, Manuel
Suggested citation
Gallizo Larraz, José Luis; Gargallo Valero, Pilar; Saladrigues Solé, Ramon; Salvador Figueras, Manuel; . (2014) . The persistence of abnormal return on assets: an exploratory analysis of the performance of firms by country and sector. Applied Stochastic Models in Business and Industry, 2014, vol. 30, num. 5, p. 609-931. https://doi.org/10.1002/asmb.2034.
Impact


Web of Science logo    citations in Web of Science

Scopus logo    citations in Scopus

Google Scholar logo  Google Scholar
Share
Export to Mendeley
Metadata
Show full item record
Abstract
This study offers an exploratory statistical analysis of the persistence of annual abnormal returns across a sample of firms from different European Union countries. To this end, a hierarchical Bayesian dynamic model has been used that enables the annual behaviour of those profits to be broken down into a permanent structural component and a transitory component, while also distinguishing between general effects affecting the industry as a whole and specific effects impacting on each firm in particular. This breakdown of the behaviour of profits allows for a more accurate assessment of the relative importance of these fundamental components by country and sector. Furthermore, through the Bayesian approach, it is possible to test different hypotheses about the homogeneity of the dynamic behaviour of the aforementioned components with respect to the sector and the country where the firm develops its activity. We find that although both the industry and firm effects are significant, the latter are more important to explain the dynamic evolution of abnormal returns. Specifically, firm effects account for 68% of total variation of the abnormal returns and display a lower degree of persistence with adjustment speeds oscillating at around 34%, while industry effects only account for 9% and have adjustment speeds oscillating between 7% and 8%. However, this pattern is not homogeneous and depends on the sector and country in which the firm carries out its activity. These results highlight the need to take into account both aspects simultaneously in order to analyse the dynamic behaviour of abnormal returns.
URI
http://hdl.handle.net/10459.1/47764
DOI
https://doi.org/10.1002/asmb.2034
Is part of
Applied Stochastic Models in Business and Industry, 2014, vol. 30, num. 5, p. 609-931
European research projects
Collections
  • Articles publicats (Administració d'Empreses) [238]

Contact Us | Send Feedback | Legal Notice
© 2023 BiD. Universitat de Lleida
Metadata subjected to 
 

 

Browse

All of the repositoryCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

Statistics

View Usage Statistics

D'interès

Política institucional d'accés obertDiposita les teves publicacionsDiposita dades de recercaSuport a la recerca

Contact Us | Send Feedback | Legal Notice
© 2023 BiD. Universitat de Lleida
Metadata subjected to