Return Predictability Along the Supply Chain: The International Evidence

Posted: 25 May 2010

See all articles by Husayn K. Shahrur

Husayn K. Shahrur

Bentley University - Department of Finance

Ying L. Becker

IBS

Didier Rosenfeld

State Street Corporate - State Street Global Advisors

Multiple version iconThere are 2 versions of this paper

Date Written: May 25, 2010

Abstract

In this study of a sample of equities listed on the exchanges of 22 developed countries, equity returns of customer industries led the returns of supplier industries. This customer-supplier/lead-lag effect exhibits characteristics consistent with the view that the effect results from a slow diffusion of value-relevant information.

Keywords: Equity Investments, Fundamental Analysis (Sector, Industry, Company), Valuation of Individual Equity Securities, Equity Market Valuation, Return Analysis, Portfolio Management, Equity Portfolio Management Strategies

Suggested Citation

Shahrur, Husayn K. and Becker, Ying L. and Rosenfeld, Didier, Return Predictability Along the Supply Chain: The International Evidence (May 25, 2010). Financial Analysts Journal, Vol. 66, No. 3, 2010, Available at SSRN: https://ssrn.com/abstract=1615460

Husayn K. Shahrur (Contact Author)

Bentley University - Department of Finance ( email )

175 Forest Street
Waltham, MA 02154
United States

Ying L. Becker

IBS ( email )

Mailstop 32
415 South Street
Waltham, MA MA 02453-2728
United States
508-494-7530 (Phone)

Didier Rosenfeld

State Street Corporate - State Street Global Advisors ( email )

United States

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