拉斯维加斯9888

Finance Seminar（2014-18）

Topic:Alliances and Return Predictability

Speaker:Jie Cao, Chinese University of Hong Kong

Time:Monday, 23 June, 10:00-11:30

Location:Room 216,Guanghua Building 2

Abstract:A trading strategy designed to exploit the information contained in the returns of alliance partners, yields economically and statistically significant returns. 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. Increased correlation in returns after the formation of alliances is driven by increased economic links and the increased probability of mergers amongst alliance partners. Investor inattention and limits to arbitrage may be the source of underreaction of a firm’s returns to that of its partners’.