Stock Returns,Productivity, and Corruption in Eight European Fast-Emerging Markets |
| |
| Authors: | Carlo Bellavite Pellegrini Bruno S. Sergi Emiliano Sironi |
| |
| Affiliation: | 1. Department of Economics and Business – Catholic University, Via Necchi, 5, 20123 Milan, Italy;2. Department of Statistical Sciences, Catholic University, Largo Gemelli, 1, 20123 Milan, Italy;3. Davis Center for Russian and Eurasian Studies, Harvard University, 1730 Cambridge Street, Cambridge, MA 02138, USA |
| |
| Abstract: | This article addresses the impact of productivity, corruption, and trade openness on the stock returns of 265 industrial companies listed in eight Eastern European fast-emerging markets, over the 2004-2013 period. Through a three-factor model that includes both measures at firm level and macro-level control variables, our findings suggest that country corruption index is negatively correlated with the total annual return of the stocks of the listed industrial companies of our sample. Moreover, the most productive firms are featured by higher stock returns, while leverage seems not to be a key predictor of stock returns. In addition, the article uncovers innovative evidence about trade openness that is negatively correlated with stock returns due to its connection with the recent financial crisis. That is, firms operating in markets that are more open to trade show a higher degree of interconnection with other economies and are more likely to undergo the effects of negative fluctuations from foreign markets during the economic crisis. © 2015 Wiley Periodicals, Inc. |
| |
| Keywords: | stock returns corruption productivity trade openness fast emerging markets |
|
|
