Profit Persistence and Stock Return

Adelina Gschwandtner, Michael Hauser

Publikation: Working/Discussion PaperWorking Paper/Preprint


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'.
PublikationsstatusVeröffentlicht - 2014