Abstract

http://ssrn.com/abstract=984523
 
 

References (42)



 


 



Is It Really There? Predictability of Supplier Returns After Large Customer Price Changes


Christian Funke


Source For Alpha AG

Timo Gebken


Source For Alpha AG

Lutz Johanning


WHU - Otto Beisheim School of Management

Gaston Michel


Source For Alpha AG

July 26, 2010


Abstract:     
Cohen and Frazzini (2008) examine economically linked firms and document widespread cross-asset return predictability at monthly horizons, specifically from customers to their suppliers. They argue that limited investor attention is responsible for their results. We extend this investigation to the extremes of the return distribution. We examine return predictability for economically linked firms at the daily level by analyzing supplier stock price reaction after large customer price changes. In contrast to Cohen and Frazzini (2008), we conclude that investor attention is only ‘partially limited’ when examining the large, attention-grabbing customer price changes investigated in this paper: return predictability mainly occurs in the first week after the event, does not apply to the largest supplier stocks, and has disappeared, at least for negative events, in the more recent past.

Number of Pages in PDF File: 39

Keywords: Asset pricing, limited attention, return predictability, customer-supplier relationships

JEL Classification: G12, G14

working papers series


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Date posted: May 7, 2007 ; Last revised: July 29, 2010

Suggested Citation

Funke, Christian and Gebken, Timo and Johanning, Lutz and Michel, Gaston, Is It Really There? Predictability of Supplier Returns After Large Customer Price Changes (July 26, 2010). Available at SSRN: http://ssrn.com/abstract=984523 or http://dx.doi.org/10.2139/ssrn.984523

Contact Information

Christian Funke (Contact Author)
Source For Alpha AG ( email )
Kugelgasse 2-4
St. Gallen, 9001
Switzerland
+41-71-5112179 (Phone)
HOME PAGE: http://www.source-for-alpha.ch
Timo Gebken
Source For Alpha AG ( email )
Hinterlauben 4
St. Gallen, 9000
Switzerland
Lutz Johanning
WHU - Otto Beisheim School of Management ( email )
Burgplatz 2
Vallendar, 56179
Germany
+49 261 6509 720 (Phone)
Gaston Michel
Source For Alpha AG ( email )
Hinterlauben 4
St. Gallen, 9000
Switzerland
+49-611-563561 (Phone)
+49-611-306061 (Fax)
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