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Economically Linked Firms: An Opportunity for Abnormal Returns has Disappeared, but the Predictability Remain

Vestgård, Alexander; Toftevaag, Jørgen Hem
Master thesis
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2025921.pdf (1.774Mb)
Preliminary Master Thesis.pdf (1.686Mb)
URI
http://hdl.handle.net/11250/2577763
Date
2018
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  • Master of Science [1116]
Abstract
In this master thesis, we investigate whether a customer-momentum

strategy, which previously has been shown to yield high abnormal returns

performs equally well today. We also examine if there is evidence

for bi-directional Granger causality (predictability) between customer

and supplier returns, by utilizing customer-supplier links in a

panel-data-setup. We find that the abnormal returns from the customermomentum

strategy is no longer present in the market, although predictability

remains. Further, we find evidence of increased trading

activity for the stocks utilized in the portfolio and increased investor

attention toward customer-supplier links. Our results are partly consistent

towards market efficiency and consistent with greater investor

attention towards strategies of abnormal returns, following the publication

of a paper demonstrating the effectiveness of this strategy.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
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Handelshøyskolen BI

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