Can Global Sourcing Strategy Predict Stock Returns?
研究发现美国上市公司的全球采购策略信息能显著预测其未来股票回报，基于五种采购指标构建的投资策略年化超额收益达6%-13.9%，表明市场未充分定价该信息。
Problem definition: Whereas firms are increasingly relying on sourcing globally as a key constituent of their supply chain strategy, there is no empirical evidence on whether investors of these firms adequately reflect firms’ global sourcing strategy (GSS) in their stock-valuation process. In this paper, we empirically test whether stock market participants are efficient in doing so. Methodology/results: Using the empirical asset-pricing framework, we find that information concerning firms’ GSS strongly predicts their future stock returns. We compile a transaction-level imports database for U.S.-listed firms and construct measures for five widely studied GSS aspects in the operations management literature: the extent of global sourcing, supplier relationship strength, supplier concentration, sourcing lead time, and sourcing countries’ logistical efficiency. For each measure, we examine returns of a zero-cost investment strategy of buying from the highest and selling from the lowest quintile of that measure. Collectively, these investment strategies yield an average annual four-factor alpha of 6%–9.6% (6%–13.9%) with value (equal)-weighted portfolios. Their return predictability is incremental over other operations- and cost arbitrage–motivated predictors, such as inventory turnover, cash conversion cycle, and gross profitability; is persistent across different supply chain positions; and is robust to alternate risk models, subsamples, and empirical specifications. Together, our results indicate that the GSS measures embody independent information about firms’ future profitability, and this information is mispriced by market participants, leading to predictable returns. In accordance with this mechanism, we find that the GSS measures strongly predict both firms’ future earnings and the surprise in market reactions around the earnings announcement days. Managerial implications: The robust return predictability of our GSS measures suggests that investors are not fully incorporating GSS-related information in their stock valuation frameworks. Therefore, our results call for greater investor education on global sourcing and better dissemination of global-sourcing information so as to mitigate valuation inefficiency. Supplemental Material: The online appendix is available at https://doi.org/10.1287/msom.2023.1189 .