Abstract
AbstractWe find a negative relationship between market share growth and subsequent stock returns, three‐ and four‐factor alphas. We report the potential explanatory role of market share growth in explaining subsequent average monthly stock returns. High (Low) market share growth firms report good (poor) operating performance and positive (negative) SUEs in the quarter in which market share growth is measured and investors overact to that good (bad) news. However, high (low) market share growth firms experience decrease (increase) in operating performance and SUEs in the subsequent quarters resulting in corrections in investors’ expectations and subsequent lower (higher) stock returns.
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