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.
- Risk adjusted excess returns,
- most admired companies,
- efficient market hypothesis
Available at: http://works.bepress.com/vichetsum/23/