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Return
Alliances and Return Predictability
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DOI：10.1017/S0022109016000600.png)
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Abstract
En 中文
Building on the growing literature on interfirm links and limited attention, we find evidence of return predictability across alliance partners. A long-short portfolio sorted on lagged returns of strategic alliance partners provides a return of 89 basis points per month that is robust to a number of specifications. Investor inattention and limits to arbitrage may be the source of the underreaction of a firm's returns to that of its partners.
Keywords:
CROSS-SECTION
STRATEGIC ALLIANCES
STOCK RETURNS
ATTENTION
ANOMALIES
RISK
AUTOCORRELATIONS
UNDERREACTION
EQUILIBRIUM
INDUSTRIES
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