Spin-offs, ex ante

McConnell J., ÖZBİLGİN M., Wahal S.

JOURNAL OF BUSINESS, cilt.74, sa.2, ss.245-280, 2001 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 74 Sayı: 2
  • Basım Tarihi: 2001
  • Doi Numarası: 10.1086/209672
  • Dergi Adı: JOURNAL OF BUSINESS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI)
  • Sayfa Sayıları: ss.245-280
  • Dokuz Eylül Üniversitesi Adresli: Hayır

Özet

Cusatis, Miles, and Woolridge (1993) report large positive excess returns following spin-offs over the period 1965-88. We investigate whether a trading strategy based on this ex post analysis would have earned excess returns on an ex ante basis over the period 1989-95. When compared with the matched firm benchmark used by Cusatis et al. and the Fama and French (1993) 3-factor model, the strategy does not beat the benchmark. When compared with size- and book-to-market-matched portfolios, the strategy typically beats the benchmark. On an ex ante basis, post-spin-off returns provide a shaky basis for rejecting the efficient market hypothesis.