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Profit Persistence and Stock Returns

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  • Adelina Gschwandtner

    ()

  • Michael Hauser

    ()

Abstract

This paper attempts to assemble evidence for the relationship between the product and the financial market. Drawing back on work in industrial organization, we analyze the relationship between profit persistence and expected stock returns. We show that long-run profit persistence together with other additional economic firm fundamentals have a significant impact on stock returns and on their volatility even after adjusting for risk. At the same time we bring evidence for a 'low volatility anomaly'.

Suggested Citation

  • Adelina Gschwandtner & Michael Hauser, 2013. "Profit Persistence and Stock Returns," Studies in Economics 1320, School of Economics, University of Kent.
  • Handle: RePEc:ukc:ukcedp:1320
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Profit Persistence; Competition; Stock Return; Heteroscedasticity; Low-Volatility Anomaly; Dividend Discount Model;

    JEL classification:

    • L10 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • L25 - Industrial Organization - - Firm Objectives, Organization, and Behavior - - - Firm Performance

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