Journal of Financial Economics, November 2018

技术关联和可预测回报

作者：Charles M.C.Lee(Stanford University)

Stephen TengSun(City University of Hong Kong)

RongfeiWang(Peking University; China Investment Corporation)

RanZhang (Peking University)

摘要：采用经典的企业间技术接近性衡量指标，我们发现技术关联企业的收益对焦点企业收益具有很强的预测能力。基于此效应的多空策略产生每月117个基点的α值。这种影响与行业动量不同，并不容易归因于基于风险的解释。更为明显的是，焦点企业：（a）具有更加集中和具体的技术重点；（b）受到较低的投资者关注，以及（c）更难以套利。我们的结果与更为细微的技术新闻导致价格调整缓慢的结论基本一致。

Technological links and predictable returns

Charles M.C.Lee(Stanford University); Stephen TengSun(City University of Hong Kong); RongfeiWang(Peking University; China Investment Corporation); RanZhang (Peking University)

ABSTRACT

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.

原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X18303167

翻译：黄涛