Downstream Returns Predictability : Asian Evidence

In the US, Cohen and Frazzini (2008) shows that suppliers returns are predictable using lagged customers returns. The converse does not hold. In China, however, both predictive directions hold: customer returns predict future sup-pliers’ returns as in the US, and suppliers returns predict future customers’ returns. This ﬁnding is indicative of slower diﬀusion of information in Chinese markets

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Year of publication:	[2022]
Authors:	Liang, Jun
Publisher:	[S.l.] : SSRN
Subject:	Asien \| Asia \| Prognoseverfahren \| Forecasting model \| Kapitaleinkommen \| Capital income \| Börsenkurs \| Share price \| Schätzung \| Estimation

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Extent:	1 Online-Ressource (3 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1, 2022 erstellt
Other identifiers:	10.2139/ssrn.4166396 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013403446