Economic links and predictable returns

• 成果类型: Article
• 署名作者: Cohen, Lauren; Frazzini, Andrea
• 署名单位: Harvard University; National Bureau of Economic Research; University of Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01379.x
• 发表日期: 2008
• 页码: 1977-2011
• 关键词: cross-autocorrelations; stock-prices; RISK; equilibrium; attention; investor; FIRMS

摘要

This paper finds evidence of return predictability across economically linked firms. We test the hypothesis that in the presence of investors subject to attention constraints, stock prices do not promptly incorporate news about economically related firms, generating return predictability across assets. Using a data set of firms' principal customers to identify a set of economically related firms, we show that stock prices do not incorporate news involving related firms, generating predictable subsequent price moves. A long-short equity strategy based on this effect yields monthly alphas of over 150 basis points.