2026-04-13T04:12:05Zhttps://recercat.cat/oai/request

oai:recercat.cat:10459.1/477642024-12-05T22:18:30Zcom_2072_3622col_2072_479130

00925njm 22002777a 4500 dc Gallizo Larraz, José Luis author Gargallo Valero, Pilar author Saladrigues Solé, Ramon author Salvador Figueras, Manuel author 2015-01-28T17:00:41Z 2014 2015-01-28T17:00:42Z This study offers an exploratory statistical analysis of the persistence of annual abnormal returns across a sample of firms from different European Union countries. To this end, a hierarchical Bayesian dynamic model has been used that enables the annual behaviour of those profits to be broken down into a permanent structural component and a transitory component, while also distinguishing between general effects affecting the industry as a whole and specific effects impacting on each firm in particular. This breakdown of the behaviour of profits allows for a more accurate assessment of the relative importance of these fundamental components by country and sector. Furthermore, through the Bayesian approach, it is possible to test different hypotheses about the homogeneity of the dynamic behaviour of the aforementioned components with respect to the sector and the country where the firm develops its activity. We find that although both the industry and firm effects are significant, the latter are more important to explain the dynamic evolution of abnormal returns. Specifically, firm effects account for 68% of total variation of the abnormal returns and display a lower degree of persistence with adjustment speeds oscillating at around 34%, while industry effects only account for 9% and have adjustment speeds oscillating between 7% and 8%. However, this pattern is not homogeneous and depends on the sector and country in which the firm carries out its activity. These results highlight the need to take into account both aspects simultaneously in order to analyse the dynamic behaviour of abnormal returns. http://hdl.handle.net/10459.1/47764 Dynamic models Bayesian inference MCMC Abnormal returns Persistence of profits Return on assets Estadística bayesiana Bayesian statistical decision The persistence of abnormal return on assets: an exploratory analysis of the performance of firms by country and sector