Profit Persistence and Stock Returns

Adelina Gschwandtner and Michael Hauser ()

Studies in Economics from School of Economics, University of Kent

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'.

Keywords: Profit Persistence; Competition; Stock Return; Heteroscedasticity; Low-Volatility Anomaly; Dividend Discount Model (search for similar items in EconPapers)
JEL-codes: G11 L10 L25 (search for similar items in EconPapers)
Date: 2013-11
New Economics Papers: this item is included in nep-fmk
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https://www.kent.ac.uk/economics/repec/1320.pdf (application/pdf)

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Journal Article: Profit persistence and stock returns (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:ukc:ukcedp:1320

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