Production complementarity and information transmission across industries

• 成果类型: Article
• 署名作者: Lee, Charles M. C.; Shi, Terrence Tianshuo; Sun, Stephen Teng; Zhang, Ran
• 署名单位: University of Washington; University of Washington Seattle; Harvard University; City University of Hong Kong; Renmin University of China
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103812
• 发表日期: 2024
• 关键词: Momentum spillovers; Economically linked firms; Return prediction; investor inattention; information transmission; Cross -industry news; Production complementarity

摘要

Economic theory suggests that production complementarity is an important driver of sectoral co -movements and business cycle fluctuations. We operationalize this concept using a measure of production complementarity proximity (COMPL) between any two companies. We show firms from different industries but are closely aligned in COMPL exhibit strong co -movement in their operating, investing, and financing activities, as well as quarterly earnings revisions and monthly returns. We further document a lead -lag effect in their returns, such that a longshort strategy based on recent COMPL peer returns yields a monthly 6 -factor alpha of 122 basis points. This interindustry momentum spillover effect is not explained by other network -based mechanisms, such as shared analyst coverage. We conclude information transmission takes place along complementarity networks, but stock prices do not update instantaneously.