Return predictability in firms with complex ownership network

• 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
• Institution: Singapore Management University

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...