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- Title
Two Different Exits: Prediction and Performance of Stocks that are About to Stop Trading.
- Authors
Bai, Ting; Hilscher, Jens; Xiao, Yitian
- Abstract
This paper predicts the two most common stock market exits — mergers and drops — using logit models based on firm-level variables and analyzes the returns of stocks that have high exit probabilities. Such analysis is important for investors given that frequent exits are partly responsible for the large US listing gap (Doidge et al., 2017). High merger probability stocks have positive 3-factor alphas and lower-than-average volatility. Firms with high drop probabilities have anomalously negative 3-, 4-, and 5-factor alphas between − 1. 8 % and − 4 % per month. Results are robust to controlling for the effects of skewness, volatility, and turnover on returns.
- Subjects
STOCKS (Finance); INVESTORS; MERGERS &; acquisitions; MARKET exit; LOGISTIC regression analysis; STOCK price forecasting; VOLATILITY (Securities)
- Publication
Quarterly Journal of Finance, 2023, Vol 13, Issue 1, p1
- ISSN
2010-1392
- Publication type
Article
- DOI
10.1142/S2010139223500039