Abstract

http://ssrn.com/abstract=1971774
 
 

References (33)



 


 



Does Inventory Productivity Predict Future Stock Returns? A Retailing Industry Perspective


Yasin Alan


Vanderbilt University - Operations Management

George Gao


Cornell University - Samuel Curtis Johnson Graduate School of Management

Vishal Gaur


Cornell University - Samuel Curtis Johnson Graduate School of Management

December 13, 2013

Vanderbilt Owen Graduate School of Management Research Paper No. 1971774
Johnson School Research Paper Series No. 3-2012

Abstract:     
We find that inventory productivity strongly predicts future stock returns among a sample of publicly listed U.S. retailers during the period from 1985 to 2010. A zero-cost portfolio investment strategy, which consists of buying from the two highest and selling from the two lowest quintiles formed on inventory turnover, earns more than 1% average monthly abnormal return benchmarked to the Fama-French-Carhart four-factor model. Our results are robust to different measures of inventory productivity, distinct from the well-known firm characteristics known to generate abnormal returns, and not driven by a particular sub-sample period. A longitudinal analysis of portfolio returns over longer holding periods shows that, while inventory productivity is predictive of stock returns, its information dissipates about 1-2 years after release.

Number of Pages in PDF File: 49

Keywords: Operations-finance interface, retail operations, inventory productivity, empirical asset pricing

Accepted Paper Series


Download This Paper

Date posted: December 14, 2011 ; Last revised: December 13, 2013

Suggested Citation

Alan, Yasin and Gao, George and Gaur, Vishal, Does Inventory Productivity Predict Future Stock Returns? A Retailing Industry Perspective (December 13, 2013). Vanderbilt Owen Graduate School of Management Research Paper No. 1971774; Johnson School Research Paper Series No. 3-2012. Available at SSRN: http://ssrn.com/abstract=1971774 or http://dx.doi.org/10.2139/ssrn.1971774

Contact Information

Yasin Alan (Contact Author)
Vanderbilt University - Operations Management ( email )
Nashville, TN 37203
United States

George Gao
Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )
Sage Hall 366
Ithaca, NY 14853
United States
Vishal Gaur
Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )
Ithaca, NY 14853
United States
HOME PAGE: http://www.johnson.cornell.edu/faculty/profiles/Gaur/

Feedback to SSRN


Paper statistics
Abstract Views: 2,621
Downloads: 623
Download Rank: 21,554
References:  33

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 1.594 seconds