This master's thesis presents a segment of the American stock market consisting of spun-off companies, also known as spin-offs. The thesis consists of a theoretical part describing the reasons for spin-offs, the historical outperformance of spin-offs and its causes, and a practical part examining the performance, excess returns, and risk-adjusted returns of American spin-offs that occurred between 2017-2022, along with an analysis of factors influencing their performance. The performance of... show full abstractThis master's thesis presents a segment of the American stock market consisting of spun-off companies, also known as spin-offs. The thesis consists of a theoretical part describing the reasons for spin-offs, the historical outperformance of spin-offs and its causes, and a practical part examining the performance, excess returns, and risk-adjusted returns of American spin-offs that occurred between 2017-2022, along with an analysis of factors influencing their performance. The performance of most spin-offs was negative, as well as excess returns in all observed periods, with a significant number of extreme values. Spin-offs exhibited only low systematic risk measured by the beta factor. Returns adjusted for systematic risk in the form of Jensen's alpha were also mostly negative. However, investors could achieve significant positive risk-adjusted returns by focusing on spin-offs with low leverage, which were profitable and undervalued based on the EV/EBIT ratio compared to industry averages. |