Technological links and predictable returns

• 成果类型: Article
• 署名作者: Lee, Charles M. C.; Sun, Stephen Teng; Wang, Rongfei; Zhang, Ran
• 署名单位: Stanford University; City University of Hong Kong; Renmin University of China; Peking University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.11.008
• 发表日期: 2019
• 页码: 76-96
• 关键词: Technology momentum; Return predictability; Technological closeness; limited attention; market efficiency

摘要

Employing a classic measure of technological closeness between firms, we show that the returns of technology-linked firms have strong predictive power for focal firm returns. A long-short strategy based on this effect yields monthly alpha of 117 basis points. This effect is distinct from industry momentum and is not easily attributable to risk-based explanations. It is more pronounced for focal firms that: (a) have a more intense and specific technology focus, (b) receive lower investor attention, and (c) are more difficult to arbitrage. Our results are broadly consistent with sluggish price adjustment to more nuanced technological news. (C) 2018 Published by Elsevier B.V.