Where Does the Predictability from Sorting on Returns of Economically Linked Firms Come From?
研究发现经济关联企业间的收益可预测性可持续长达10年，主要源于共同动量而非信息缓慢扩散，短期预测中动量与新闻贡献相当，长期则完全由共同动量驱动。
Abstract Cross-firm predictability among economically linked firms can arise when both firms exhibit their own momentum and their returns are contemporaneously correlated. We show that cross-firm predictability can last up to 10 years, which is hard to reconcile with an interpretation of slow information diffusion. However, it is consistent with the economically linked firms’ commonality in momentum. The contribution of each source can be found by decomposing leaders’ returns into the predictable (momentum) and news components. Sorting on each, we find that both sources contribute almost equally to 1-month predictability, whereas commonality in momentum is solely responsible for longer-horizon cross-firm predictability.