Recurring Firm Events and Predictable Returns: The Within-Firm Time Series

Samuel M. Hartzmark () and David H. Solomon ()
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Samuel M. Hartzmark: Booth School of Business, University of Chicago, Chicago, Illinois 60637, USA
David H. Solomon: Carrol School of Management, Boston College, Chestnut Hill, Massachusetts 02467, USA

Annual Review of Financial Economics, 2018, vol. 10, issue 1, 499-517

Abstract: We review the literature on recurring firm events and predictable returns. Many common firm events recur on a predictable basis, such as earnings and dividends, among others. These events tend to be associated with large positive returns in the period when the events are predicted to occur (without conditioning on the outcome or existence of the event itself). These returns occur mainly on the long side of the portfolio, are statistically and economically large when value weighted, and replicate internationally. It is difficult to explain the observed patterns with a unified risk theory. Some of the underlying causes seem to be related to idiosyncratic risk, predictable attention, probability mistakes, and demand for corporate distributions.

Keywords: asset pricing; recurring events; return predictability; seasonality; earnings; dividends (search for similar items in EconPapers)
JEL-codes: G02 G11 G12 G14 (search for similar items in EconPapers)
Date: 2018
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