The persistence of abnormal return on assets: an exploratory analysis of the performance of firms by country and sector
Gargallo Valero, Pilar
Salvador Figueras, Manuel
MetadataShow full item record
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.
Is part ofApplied Stochastic Models in Business and Industry, 2014, vol. 30, num. 5, p. 609-931
European research projects
Showing items related by title, author, creator and subject.
Saladrigues Solé, Ramon; Gallizo Larraz, José Luis; Gargallo Valero, Pilar; Salvador Figueras, Manuel (Edicions de la Universitat de Lleida, 2013)This study offers a statistical analysis of the persistence of annual profits across a sample of firms from different European Union (EU) countries. To this end, a Bayesian dynamic model has been used which enables the ...
The Baltic banking system in the enlarged European Union: the effect of the financial crisis on efficiency Gallizo Larraz, José Luis; Moreno Gené, Jordi; Salvador Figueras, Manuel (Taylor & Francis, 2017)The main objective of this study is to analyse the evolution of banking efficiency in the Baltic countries after their accession to the EU and during the financial crisis, and to check whether there are significant ...
Alonso Logroño, María Pilar; Beamonte San Agustín, Mª Asunción; Gargallo Valero, Pilar; Salvador Figueras, Manuel (Instituto Nacional de Estadística, 2013)Este trabajo utiliza la matriz de desplazamientos laborales diarios para analizar la accesibilidad de los municipios como lugar de residencia y como lugar de trabajo, tomando como caso de estudio la comunidad aragonesa. ...