Corporate reputation and stock returns: empirical evidence from the US stock market
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School of Business | Bachelor's thesis
AbstractThis paper studies the relationship between corporate reputation and long-run stock returns. Both equal- and value-weighted long-short portfolios formed of companies with the highest- and lowest reputations earned an annual five-factor alpha of 5.8% from 2009 to 2016. The results are robust to controlling for different weighting methods, asset pricing models and the removal of outliers. This paper provides evidence that the stock market does not fully value intangible assets. Furthermore, the results add to the existing description of the characteristics possessed by high-reputation companies – they are typically large and highly profitable growth companies with plenty of investment opportunities, that invest aggressively rather that conservatively.
Thesis advisorLof, Matthijs
reputation, alpha, returns, equal-weighted, value-weighted, portfolio, monthly, stock