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dc.contributor.authorGallizo Larraz, José Luis
dc.contributor.authorGargallo Valero, Pilar
dc.contributor.authorSaladrigues Solé, Ramon
dc.contributor.authorSalvador Figueras, Manuel
dc.date.accessioned2015-01-28T17:00:41Z
dc.date.issued2014
dc.identifier.issn1524-1904
dc.identifier.urihttp://hdl.handle.net/10459.1/47764
dc.description.abstractThis 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.
dc.format.mimetypeapplication/pdf
dc.language.isoeng
dc.publisherJohn Wiley & Sons
dc.relation.isformatofVersió postprint del document publicat a https://doi.org/10.1002/asmb.2034
dc.relation.ispartofApplied Stochastic Models in Business and Industry, 2014, vol. 30, num. 5, p. 609-931
dc.rights(c) John Wiley & Sons, 2014
dc.subjectDynamic models
dc.subjectBayesian inference
dc.subjectMCMC
dc.subjectAbnormal returns
dc.subjectPersistence of profits
dc.subjectReturn on assets
dc.subject.classificationEstadística bayesiana
dc.subject.otherBayesian statistical decision
dc.titleThe persistence of abnormal return on assets: an exploratory analysis of the performance of firms by country and sector
dc.typeinfo:eu-repo/semantics/article
dc.date.updated2015-01-28T17:00:42Z
dc.identifier.idgrec021469
dc.type.versionacceptedVersion
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.identifier.doihttps://doi.org/10.1002/asmb.2034


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