Return Predictability Along the Supply Chain: The International Evidence
Husayn K. Shahrur
Bentley University - Department of Finance
Ying L. Becker
affiliation not provided to SSRN
State Street Corporate - State Street Global Advisors
October 11, 2009
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, G14working papers series
Date posted: April 3, 2010
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