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Cited by 1,404

The DOI matches its Crossref record; 4 of the 4 references it cites were found in a registry or an index.

Economic Links and Predictable Returns

Open access
COHEN, LAUREN, FRAZZINI, ANDREA·2008·The Journal of Finance
DOI 10.1111/j.1540-6261.2008.01379.x
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Abstract

This paper finds evidence of return predictability across economically linked firms. We test the hypothesis that in the presence of investors subject to attention constraints, stock prices do not promptly incorporate news about economically related firms, generating return predictability across assets. Using a data set of firms' principal customers to identify a set of economically related firms, we show that stock prices do not incorporate news involving related firms, generating predictable subsequent price moves. A long–short equity strategy based on this effect yields monthly alphas of over 150 basis points.

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Crossref · 10.1111/j.1540-6261.2008.01379.x

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Metadata

Authors
COHEN, L., & FRAZZINI, A.
Venue
The Journal of Finance
Publisher
Wiley
Published
2008-07-19
Volume
63
Issue
4
Pages
1977-2011
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.2008.01379.x
OpenAlex
W2164320228
Cited by
1,404
References
4
FWCI
50.16
Type
journal article
Language
en
Open access
bronze

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CoChat. (2026). Citation check: Economic Links and Predictable Returns. https://app.cochat.ai/papers/10.1111/j.1540-6261.2008.01379.x
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COHEN, L., & FRAZZINI, A. (2008). Economic Links and Predictable Returns. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2008.01379.x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.