Return predictability in firms with complex ownership network

• Main Authors: GONZALEZ, Angelica, SARKISSIAN, Sergei, Jun TU, ZHANG, Ran
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2020
• 主題: Decision-making commonality; Earnings surprises; Investors’ inattention; Limits to arbitrage; Corporate Finance; Finance; Finance and Financial Management
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/6797
• 機構: 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...