Momentum Information Propagation through Global Supply Chain Networks
基于全球供应链网络数据，提出一种新的客户动量策略，利用网络理论、中期动量传播和高层客户信息，在全球股票市场实现4.5%的年化收益，优于传统动量策略。
Customer momentum has been demonstrated to be effective in the US and Japanese stock markets but has not been examined using a large global supply chain network. In this article, the authors propose a new customer momentum strategy based on global supply chain network data combined with prior research. They apply (1) network theory, (2) medium-term momentum propagation, and (3) higher-layer customer information based on the characteristics of global supply chain network data. Empirical analysis in global stock markets confirms that the proposed strategy has a 4.5% annual return based on a long–short analysis. This strategy is more effective than standard momentum and customer momentum in former studies. <b>TOPICS:</b>Security analysis and valuation, developed markets, analysis of individual factors/risk premia, performance measurement <b>Key Findings</b> ▪ The authors propose a new customer momentum strategy based on global supply chain network data. ▪ They apply (1) network theory, (2) medium-term momentum propagation, and (3) higher-layer customer information based on the characteristics of global supply chain network data. ▪ Empirical analysis in global stock markets confirms that the proposed strategy has a 4.5% annual return based on a long–short analysis.