Economic Links and Predictable Returns
发现投资者注意力有限导致股票价格不能及时反映经济关联企业的新闻，从而产生跨资产收益可预测性，基于此构建的多空策略月均超额收益超过150个基点。
ABSTRACT This paper finds evidence of return predictability across economically linked firms. We test the hypothesis that in the presence of investors subject to attention constraints, stock prices do not promptly incorporate news about economically related firms, generating return predictability across assets. Using a data set of firms' principal customers to identify a set of economically related firms, we show that stock prices do not incorporate news involving related firms, generating predictable subsequent price moves. A long–short equity strategy based on this effect yields monthly alphas of over 150 basis points.