Alliances and Return Predictability

Jie Cao (Corresponding Author), Tarun Chordia, Chen Lin

Research output: Journal article publicationJournal articleAcademic researchpeer-review

28 Citations (Scopus)

Abstract

Building on the growing literature on interfirm links and limited attention, we find evidence of return predictability across alliance partners. A long-short portfolio sorted on lagged returns of strategic alliance partners provides a return of 89 basis points per month that is robust to a number of specifications. Investor inattention and limits to arbitrage may be the source of the underreaction of a firm's returns to that of its partners.

Original languageEnglish
Pages (from-to)1689-1717
Number of pages29
JournalJournal of Financial and Quantitative Analysis
Volume51
Issue number5
DOIs
Publication statusPublished - 1 Oct 2016
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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