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Supply chain networks and return predictability
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| 1.98 MB | Adobe PDF |
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Resumo(s)
I use network theory to construct a set of long-short strategies for 65 companies, connected
to the tire industry via trade relationships. I find that companies that are more central to the
supply chain network earn higher returns that peripheral firms (Information Ratio of 0.72). A
plausible explanation to this is that central firms are exposed to more shocks and, therefore,
command a higher risk premium. Empirical evidence for this sector also suggests marginal
return predictability for supply chain networks (for the revenues and market data), however, it
does not outperform the benchmarks due to fast information diffusion across the network.
Descrição
Palavras-chave
Tire industry Supply chain network Marginal return predictability