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SUMMARY:Characteristic-Based Expected Returns and Corporate Events - Profe
 ssor Hendrik Bessembinder\, A. Blaine Huntsman Chaired Presidential Profes
 sor\, Department of Finance\, University of UTAH
DTSTART:20151006T113000Z
DTEND:20151006T010000Z
UID:TALK60967@talks.cam.ac.uk
CONTACT:Crystal
DESCRIPTION:We propose that expected returns estimated for the broad marke
 t based on observable firm characteristics provide a simple and useful ben
 chmark for assessing whether returns to a given set of stocks are abnormal
 . As an important illustration\, we document that the apparently abnormal 
 long-run returns after corporate events\, including initial and secondary 
 public equity offerings\, mergers and acquisitions\, dividend initiations\
 , share repurchases and stock splits\, are substantially reduced or elimin
 ated when event stock returns are compared to characteristic-based expecte
 d returns. A simple five-characteristic specification relying only on firm
  size\, book-to-market ratio\, profitability\, asset growth\, and return m
 omentum performs as well as more complex specifications. This analysis sup
 ports the conclusion that returns after corporate events are largely expla
 ined by the characteristics of the firms engaging in the events
LOCATION:Cambidge Judge Business School\,  KH107
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