Aggregate Firm Events as a Stock Return Anomaly
November 13, 2017 - Animal Spirits, Calendar Effects, Fundamental Valuation, Sentiment Indicators
Should investors view stock returns around recurring firm events in aggregate as an exploitable anomaly? In their October 2017 paper entitled “Recurring Firm Events and Predictable Returns: The Within-Firm Time-Series”, Samuel Hartzmark and David Solomon review the body of research on relationships between recurring firm events and future stock returns. They classify events as predictable (1) releases of information… Keep Reading