Return Predictability Along the Supply Chain: The International Evidence

41 Pages Posted: 3 Apr 2010  

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

Multiple version iconThere are 2 versions of this paper

Date Written: 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.

Keywords: Suppliers, Customers, Return Predictability

JEL Classification: G12, G14

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: https://ssrn.com/abstract=1583927 or http://dx.doi.org/10.2139/ssrn.1583927

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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