Does Inventory Productivity Predict Future Stock Returns? A Retailing Industry Perspective

• 成果类型: Article
• 署名作者: Alan, Yasin; Gao, George P.; Gaur, Vishal
• 署名单位: Vanderbilt University; Cornell University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2014.1897
• 发表日期: 2014
• 页码: 2416-2434
• 关键词: operations-finance interface; retail operations; inventory productivity; empirical asset pricing

摘要

We find that inventory productivity strongly predicts future stock returns among a sample of publicly listed U. S. retailers during the period from 1985 to 2010. A zero-cost portfolio investment strategy, which consists of buying from the two highest and selling from the two lowest quintiles formed on inventory turnover, earns more than 1% average monthly abnormal return benchmarked to the Fama-French-Carhart four-factor model. Our results are robust to different measures of inventory productivity, distinct from the well-known firm characteristics known to generate abnormal returns, and not driven by a particular subsample period. A longitudinal analysis of portfolio returns over longer holding periods shows that although inventory productivity is predictive of stock returns, its information dissipates about one to two years after release.