Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/105704
Authors: 
Gschwandtner, Adelina
Hauser, Michael
Year of Publication: 
2013
Series/Report no.: 
School of Economics Discussion Papers 1320
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'.
Subjects: 
Profit Persistence
Competition
Stock Return
Heteroscedasticity
Low-Volatility Anomaly
Dividend Discount Model
JEL: 
L10
G11
L25
Document Type: 
Working Paper

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