Cash conversion cycle’s predicting power over stock returns in German stock market

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bachelor_Campomanes_Florencio_2020.pdf (335.1 KB)

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School of Business | Bachelor's thesis
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Date

2020

Department

Rahoituksen laitos

Major/Subject

Mcode

Degree programme

Rahoitus

Language

en

Pages

19+11

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Abstract

In this thesis I study the cash conversion cycle’s (CCC) predicting power over cross-sectional stock returns in German stock market between January 1991 and December 2019. I find that the CCC is a significant predictor of future abnormal returns. A portfolio that buys stocks in the lowest CCC decile and shorts stocks in the highest CCC decile earns on average alphas of 5.3- 7.4% per year. The CCC’s predicting power remains significant even when controlling for eight previously documented return predictors.

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Thesis advisor

Ungeheuer, Michael

Keywords

cash conversion cycle, asset pricing, Finance, return predictor

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https://urn.fi/URN:NBN:fi:aalto-2020120656145

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[kand] Kauppakorkeakoulu / BIZ (Open Access)