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 language | English |
---|---|
Pages (from-to) | 1689-1717 |
Number of pages | 29 |
Journal | Journal of Financial and Quantitative Analysis |
Volume | 51 |
Issue number | 5 |
DOIs | |
Publication status | Published - 1 Oct 2016 |
Externally published | Yes |
ASJC Scopus subject areas
- Accounting
- Finance
- Economics and Econometrics