Abnormal Stock Returns Using Supply Chain Momentum and Operational Financials
提出一种基于主要客户季度销售增长来选股的新交易策略，回测显示年化超额收益超过8.7%，且与市场几乎不相关，适用于美国中小型制造企业。
Knowledge about a company’s supply chain provides an edge for investors. In this article, the authors propose a new trading approach in which a company’s stock is purchased only if its main customer’s quarterly sales evolve favorably. This method yields backtested annual returns in excess of 8.7% to the market return, net of real world transaction costs for a stock portfolio built on supply chain considerations. This portfolio is practically uncorrelated with the market, and the abnormal return is robust for risk adjustment. The method is applicable at least to U.S.-listed small- and mid-cap product-manufacturing companies with a strong dependency on their main customer company. According to the authors, a review of past publications could not identify research applying a similar method, thereby confirming the novelty of this fundamental facts-based approach. <b>TOPICS:</b>Theory, exchanges/markets/clearinghouses, portfolio theory