Alliances and Return Predictability

Jie Cao; Tarun Chordia; Chen Lin

doi:10.1017/S0022109016000600

Alliances and Return Predictability

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

Research output: Journal article publication › Journal article › Academic research › peer-review

41 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 language	English
Pages (from-to)	1689-1717
Number of pages	29
Journal	Journal of Financial and Quantitative Analysis
Volume	51
Issue number	5
DOIs	https://doi.org/10.1017/S0022109016000600
Publication status	Published - 1 Oct 2016
Externally published	Yes

ASJC Scopus subject areas

Accounting
Finance
Economics and Econometrics

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10.1017/S0022109016000600

Cite this

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Alliances and Return Predictability

Abstract

ASJC Scopus subject areas

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