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Stock Returns, Productivity, and Corruption in Eight European Fast-Emerging Markets

Author

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  • Bellavite Pellegrini, Carlo
  • Sergi, Bruno
  • Sironi, Emiliano

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.

Suggested Citation

  • Bellavite Pellegrini, Carlo & Sergi, Bruno & Sironi, Emiliano, 2015. "Stock Returns, Productivity, and Corruption in Eight European Fast-Emerging Markets," MPRA Paper 104651, University Library of Munich, Germany, revised 2015.
    • Handle: RePEc:pra:mprapa:104651
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    References listed on IDEAS

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    Cited by:

    1. Bellavite Pellegrini, Carlo & Pellegrini, Laura & Sergi, Bruno, 2018. "Governance and banking system morphology in China: the evolution over the last two decades (1995-2015)," MPRA Paper 98571, University Library of Munich, Germany, revised 2018.

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    More about this item

    Keywords

    productivity; stock returns; corruption;
    All these keywords.

    JEL classification:

    • G3 - Financial Economics - - Corporate Finance and Governance

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