Firm efficiency and stock returns: Australian evidence

被引：2
|
作者：
Ang, Tze Chuan 'Chewie' [1 ]
Azad, A. S. M. Sohel [1 ]
Pham, Thu A. T. [3 ]
Zhong, Angel [2 ]
机构：
[1] Deakin Univ, Fac Business & Law, Dept Finance, 221 Burwood Highway, Burwood, Vic 3125, Australia
[2] RMIT Univ, Sch Econ Finance & Mkt, Melbourne, Vic, Australia
[3] Univ Econ Ho Chi Minh City, Sch Banking, 59C Nguyen Dinh Chieu St,Dist 3, Ho Chi Minh City, Vietnam
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2021年 / 78卷
关键词：
Firm efficiency; Anomaly; Asset pricing; Arbitrage costs; Stochastic frontier approach; Risk-based explanation; CROSS-SECTION; IDIOSYNCRATIC VOLATILITY; RISK; ANOMALIES; ARBITRAGE; PRODUCTIVITY; LIQUIDITY; LIMITS; COSTS;
D O I：
10.1016/j.irfa.2021.101935
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We employ a stochastic frontier approach to estimate firm efficiency - the efficiency with which a firm converts its inputs into output. We find a negative relation between firm efficiency and the cross-section of stock returns ('firm efficiency effect') in the Australian stock market. The firm efficiency effect is robust after controlling for other firm characteristics and is more pronounced in stocks with high limits-to-arbitrage. However, we find no evidence that firm efficiency is a priced factor in the cross-section. Our findings suggest that investors misprice firm efficiency and arbitrage costs perpetuate its return predictability.
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页数：14
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