Momentum information propagation through global supply chain networks

Rei Yamamoto, Naoya Kawadai, Hiroki Miyahara

Research output: Contribution to journalArticlepeer-review

Abstract

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 4.5% annual return based on a long-short analysis. This strategy is more effective than standard momentum and customer momentum in former studies.

Original languageEnglish
Pages (from-to)1-15
Number of pages15
JournalJournal of Portfolio Management
Volume47
Issue number8
DOIs
Publication statusPublished - 2021 Aug

Keywords

  • Analysis of individual factors/risk premia
  • Developed markets
  • Performance measurement
  • Security analysis and valuation

ASJC Scopus subject areas

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics

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