Journal of Financial & Quantitative Analysis. Volume 51, Issue 5, October 2016

公司联盟与收益率预测

作者：Jie Cao (CUHK Business School, Chinese University of Hong Kong)

Tarun Chordia（Goizueta Business School, Emory University）

Chen Lin（Faculty of Business and Economics, University of Hong Kong）

摘要：在公司间联系和有限关注文献大量增长的基础上，我们发现联盟合作企业收益率可预测性的证据。依据战略联盟收益率的滞后性排序构造的多空组合每月能获得89个基点的收益率，并且从多个指标来看，该结果都是稳健的。投资者的疏忽以及套利的有限性可能是投资者对同盟内公司收益率反映不充分的来源。

Alliances and Return Predictability

Jie Cao (CUHK Business School, Chinese University of Hong Kong), Tarun Chordia（Goizueta Business School, Emory University）, Chen Lin（Faculty of Business and Economics, University of Hong Kong）

ABSTRACT

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.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/alliances-and-return-predictability/6CE4B842AE827848F1A99EAF5E20A30F

翻译：汪国颂