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Conference Paper: The Invisible Burden: Goodwill and the Cross-Section of Stock Returns
Title | The Invisible Burden: Goodwill and the Cross-Section of Stock Returns |
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Authors | |
Issue Date | 2019 |
Publisher | Financial Management Association International. |
Citation | 2019 Financial Management Association Asia/Pacific Conference, Ho Chi Minh City, Vietnam, 10-17 July 2019 How to Cite? |
Abstract | We study the role of goodwill, an important form of intangible assets arising from past M&A histories, on asset pricing. We find that goodwill-to-sales strongly and negatively predicts the cross-section of stocks returns, especially among firms with cross-industry M&A histories and firms with overconfident CEOs. It remains as an economically and statistically significant predictor of stock returns after adjusted by all known factors. Our results suggest that goodwill-to-sales subsumes information on firm value, and
stock markets underreact to this information because the fair value of goodwill is unobservable and hard to evaluate. |
Description | Session 17: Market Efficiency: Information |
Persistent Identifier | http://hdl.handle.net/10722/278793 |
DC Field | Value | Language |
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dc.contributor.author | Liu, X | - |
dc.contributor.author | Yin, C | - |
dc.contributor.author | Zheng, W | - |
dc.date.accessioned | 2019-10-21T02:14:09Z | - |
dc.date.available | 2019-10-21T02:14:09Z | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | 2019 Financial Management Association Asia/Pacific Conference, Ho Chi Minh City, Vietnam, 10-17 July 2019 | - |
dc.identifier.uri | http://hdl.handle.net/10722/278793 | - |
dc.description | Session 17: Market Efficiency: Information | - |
dc.description.abstract | We study the role of goodwill, an important form of intangible assets arising from past M&A histories, on asset pricing. We find that goodwill-to-sales strongly and negatively predicts the cross-section of stocks returns, especially among firms with cross-industry M&A histories and firms with overconfident CEOs. It remains as an economically and statistically significant predictor of stock returns after adjusted by all known factors. Our results suggest that goodwill-to-sales subsumes information on firm value, and stock markets underreact to this information because the fair value of goodwill is unobservable and hard to evaluate. | - |
dc.language | eng | - |
dc.publisher | Financial Management Association International. | - |
dc.relation.ispartof | 2019 Financial Management Association Asia/Pacific Conference | - |
dc.title | The Invisible Burden: Goodwill and the Cross-Section of Stock Returns | - |
dc.type | Conference_Paper | - |
dc.identifier.hkuros | 307560 | - |