Momentum information propagation through global supply chain networks

Rei Yamamoto, Naoya Kawadai, Hiroki Miyahara

研究成果: Article査読

抄録

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.

本文言語English
ページ(範囲)1-15
ページ数15
ジャーナルJournal of Portfolio Management
47
8
DOI
出版ステータスPublished - 2021 8月

ASJC Scopus subject areas

  • 会計
  • ビジネス、管理および会計(全般)
  • 財務
  • 経済学、計量経済学

フィンガープリント

「Momentum information propagation through global supply chain networks」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル