Alliances and Return Predictability
研究发现，战略联盟伙伴的滞后回报可以预测公司未来回报，基于此构建的多空组合每月可获得89个基点的超额收益，且结果稳健。投资者注意力不足和套利限制可能是导致公司对伙伴回报反应不足的原因。
Building on the growing literature on interfirm links and limited attention, we find evidence of return predictability across alliance partners. A long–short portfolio sorted on lagged returns of strategic alliance partners provides a return of 89 basis points per month that is robust to a number of specifications. Investor inattention and limits to arbitrage may be the source of the underreaction of a firm’s returns to that of its partners.