Firm Characteristics, Return Predictability, and Long-Run Abnormal Returns in Global Stock Markets

Authors: Hendrik Bessembinder, Michael J. Cooper, Wei Jiao, Feng Zhang

Abstract: We show that characteristics known to predict returns to U.S. stocks also predict returns for a broad sample of nearly 52,000 stocks from fifty-eight non-U.S. countries, and we evaluate the extent to which six prominent corporate events, including initial and secondary stock offerings, stock repurchases, dividend initiations, stock splits, and merger announcements, are associated with apparently abnormal post-event returns for non-U.S. stocks. We then show that the apparently abnormal post-event returns are substantially reduced or eliminated when event firm returns are compared to expected returns that are based on relations between returns and characteristics estimated using all firms in the country.