"Return predictability in firms with complex ownership network" by Angelica GONZALEZ, Sergei SARKISSIAN et al.
 

Return predictability in firms with complex ownership network

Publication Type

Working Paper

Version

publishedVersion

Publication Date

12-2020

Abstract

Using global cross-ownership data, we show return predictability for all four possible cases in ownership-linked firms (OLFs): subsidiary-parent, parent-subsidiary, subsidiary-subsidiary, and parent-parent. A long/short portfolio strategy sorted by the lagged monthly returns of OLFs yields monthly Fama-French six-factor alpha of 79-113 bps. These results are not subsumed by customer-supplier relations, industry or cross-country return momentums. The return predictability in OLFs is best explained by active internal capital markets – a mechanism unique to firms with complex ownership.

Keywords

Decision-making commonality, Earnings surprises, Investors’ inattention, Limits to arbitrage

Discipline

Corporate Finance | Finance | Finance and Financial Management

Research Areas

Finance

First Page

1

Last Page

77

Identifier

10.2139/ssrn.3559099

Publisher

SSRN

External URL

https://dx.doi.org/10.2139/ssrn.3559099

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