TAILIEUCHUNG - Most admired companies: Admirable performance

This paper shows that most admired companies generate admirable stock performance relative to the market. The current study analyses risk premiums and risk-adjusted excess returns of a portfolio of firms ranked as the most admired companies in the United States from 2006 to 2011. The results show that average risk premiums of an equal-weighted portfolio of most admired firms are economically superior than the market risk premiums from 2006 to 2011 (except 2010). For the 1-year holding period, the portfolio average risk-adjusted excess returns are all positive, but 2010, and some even statistically significant. The portfolio exhibits average positive risk-adjusted excess returns for the 3-year holding period intervals; the alphas are statistically significant for the 2006-2008 period. | Journal of Applied Finance Banking vol. 2 no. 6 2012 191-199 ISSN 1792-6580 print version 1792-6599 online Scienpress Ltd 2012 Most Admired Companies Admirable Performance Vichet Sum1 Abstract This paper shows that most admired companies generate admirable stock performance relative to the market. The current study analyses risk premiums and risk-adjusted excess returns of a portfolio of firms ranked as the most admired companies in the United States from 2006 to 2011. The results show that average risk premiums of an equal-weighted portfolio of most admired firms are economically superior than the market risk premiums from 2006 to 2011 except 2010 . For the 1-year holding period the portfolio average risk-adjusted excess returns are all positive but 2010 and some even statistically significant. The portfolio exhibits average positive risk-adjusted excess returns for the 3-year holding period intervals the alphas are statistically significant for the 2006-2008 period. JEL classification numbers G11 G12 G14 Keywords Risk adjusted excess returns most admired companies efficient market hypothesis 1 Introduction In the framework of the strong form of the efficient market hypothesis Fama 1991 posits that all available information both public and private should be fully reflected in the security prices so that no one can earn excess returns on a consistent basis. Many researchers have attempted to provide evidence of the stock-picking ability of portfolio managers. Showing that portfolio managers possess the ability to pick stocks to be included in the portfolios that consistently outperform the market portfolio would directly invalidate and humble the proponents of the efficient market hypothesis. Ellis 2000 provides convincing evidence that 89 of all US-based mutual funds could not beat the S P 500 index from 1991 to 2000. Gruber 1996 reveals that average mutual fund 1University of Maryland - Eastern Shore. e-mail vsum@ Article Info Received July 19 2012. .

• Đầu tư Chứng khoán
• Risk adjusted excess returns
• Most admired companies
• Efficient market hypothesis
• Admirable performance
• Generate admirable stock performance relative