Abstract

http://ssrn.com/abstract=1583927
 
 

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Return Predictability Along the Supply Chain: The International Evidence


Husayn K. Shahrur


Bentley University - Department of Finance

Ying L. Becker


State Street Corporate - State Street Global Advisors

Didier Rosenfeld


State Street Corporate - State Street Global Advisors

October 11, 2009


Abstract:     
Using a sample of equities listed on the exchanges of 22 developed countries, we find that equity returns on customer industries lead the returns of supplier industries. This customer-supplier lead-lag effect is economically significant and is more pronounced for small suppliers and for supplier industries with dispersed sales and higher relationship-specific investments with their customers. Overall, the lead-lag effect exhibits characteristics that are more consistent with the view that it is the result of a slow diffusion of value-relevant information.

Number of Pages in PDF File: 41

Keywords: Suppliers, Customers, Return Predictability

JEL Classification: G12, G14

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Date posted: April 3, 2010  

Suggested Citation

Shahrur, Husayn K. and Becker, Ying L. and Rosenfeld, Didier, Return Predictability Along the Supply Chain: The International Evidence (October 11, 2009). Available at SSRN: http://ssrn.com/abstract=1583927 or http://dx.doi.org/10.2139/ssrn.1583927

Contact Information

Husayn K. Shahrur (Contact Author)
Bentley University - Department of Finance ( email )
175 Forest Street
Waltham, MA 02154
United States
Ying L. Becker
State Street Corporate - State Street Global Advisors ( email )
United States
Didier Rosenfeld
State Street Corporate - State Street Global Advisors ( email )
United States
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