期刊
JOURNAL OF FINANCIAL ECONOMICS
卷 132, 期 3, 页码 76-96出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jfineco.2018.11.008
关键词
Technology momentum; Return predictability; Technological closeness; Limited attention; Market efficiency
资金
- National Natural Science Foundation of China [71872007, 71273013]
Employing a classic measure of technological closeness between firms, we show that the returns of technology-linked firms have strong predictive power for focal firm returns. A long-short strategy based on this effect yields monthly alpha of 117 basis points. This effect is distinct from industry momentum and is not easily attributable to risk-based explanations. It is more pronounced for focal firms that: (a) have a more intense and specific technology focus, (b) receive lower investor attention, and (c) are more difficult to arbitrage. Our results are broadly consistent with sluggish price adjustment to more nuanced technological news. (C) 2018 Published by Elsevier B.V.
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