Spin-Offs, Ex Ante
AbstractCusatis, Miles, and Woolridge (1993) report large positive excess returns following spin-offs over the period 1965-88. We investigate whether a trading strategy based on this ex post analysis would have earned excess returns on an ex ante basis over the period 1989-95. When compared with the matched firm benchmark used by Cusatis et al. and the Fama and French (1993) 3-factor model, the strategy does not beat the benchmark. When compared with size- and book-to-market-matched portfolios, the strategy typically beats the benchmark. On an ex ante basis, post-spin-off returns provide a shaky basis for rejecting the efficient market hypothesis. Copyright 2001 by University of Chicago Press.
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Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 74 (2001)
Issue (Month): 2 (April)
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- Jan Hanousek & Evzen Kocenda & Jan Svejnar, 2004.
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