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
Citation
GONZALEZ, Angelica; SARKISSIAN, Sergei; Jun TU; and ZHANG, Ran.
Return predictability in firms with complex ownership network. (2020). 1-77.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6797
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.