Return predictability in firms with complex ownership network

Return predictability in firms with complex ownership network

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 F...

Full description

Saved in:
Bibliographic Details
Main Authors: GONZALEZ, Angelica, SARKISSIAN, Sergei, Jun TU, ZHANG, Ran
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
Decision-making commonality
Earnings surprises
Investors’ inattention
Limits to arbitrage
Corporate Finance
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6797
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
Description
Summary: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.

Similar Items