.png){kind=icon}
返回
Economic links and predictable returns
.png){kind=icon}
OA
AI
DOI：10.1111/j.1540-6261.2008.01379.x.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
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.
Keyword:
CROSS-AUTOCORRELATIONS
STOCK-PRICES
RISK
EQUILIBRIUM
ATTENTION
INVESTOR
FIRMS
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
9.5
论文数:
4.0K
被引数:
5.0W
机构
引用论文
.png){kind=icon}
All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors闪闪发光: 关注和新闻对个人和机构投资者购买行为的影响
PREAI
分享收藏
分享收藏
查看更多内容