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...

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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
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Institution:	Singapore Management University
Language:	English

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spelling	sg-smu-ink.lkcsb_research-77962021-09-28T06:18:03Z Return predictability in firms with complex ownership network GONZALEZ, Angelica SARKISSIAN, Sergei Jun TU, ZHANG, Ran 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. 2020-12-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/6797 info:doi/10.2139/ssrn.3559099 http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Decision-making commonality Earnings surprises Investors’ inattention Limits to arbitrage Corporate Finance Finance Finance and Financial Management
institution	Singapore Management University
building	SMU Libraries
continent	Asia
country	Singapore Singapore
content_provider	SMU Libraries
collection	InK@SMU
language	English
topic	Decision-making commonality Earnings surprises Investors’ inattention Limits to arbitrage Corporate Finance Finance Finance and Financial Management
spellingShingle	Decision-making commonality Earnings surprises Investors’ inattention Limits to arbitrage Corporate Finance Finance Finance and Financial Management GONZALEZ, Angelica SARKISSIAN, Sergei Jun TU, ZHANG, Ran Return predictability in firms with complex ownership network
description	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.
format	text
author	GONZALEZ, Angelica SARKISSIAN, Sergei Jun TU, ZHANG, Ran
author_facet	GONZALEZ, Angelica SARKISSIAN, Sergei Jun TU, ZHANG, Ran
author_sort	GONZALEZ, Angelica
title	Return predictability in firms with complex ownership network
title_short	Return predictability in firms with complex ownership network
title_full	Return predictability in firms with complex ownership network
title_fullStr	Return predictability in firms with complex ownership network
title_full_unstemmed	Return predictability in firms with complex ownership network
title_sort	return predictability in firms with complex ownership network
publisher	Institutional Knowledge at Singapore Management University
publishDate	2020
url	https://ink.library.smu.edu.sg/lkcsb_research/6797
_version_	1770575800213438464

Return predictability in firms with complex ownership network

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