Cross-firm predictability among economically linked firms can arise when both firms exhibit their own momentum and their returns are contemporaneously correlated. We show that cross-firm predictability can last up to 10 years, which is hard to reconcile with an interpretation of slow information diffusion. However, it is consistent with the economically linked firms’ commonality in momentum. The contribution of each source can be found by decomposing leaders’ returns into the predictable (momentum) and news components. Sorting on each, we find that both sources contribute almost equally to 1-month predictability, whereas commonality in momentum is solely responsible for longer-horizon cross-firm predictability.

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经济关联企业收益排序的可预测性从何而来？

当两家公司都表现出自己的动力并且它们的回报同时相关时，经济联系公司之间的跨公司可预测性就会出现。我们表明，跨公司的可预测性可以持续长达 10 年，这与对信息传播缓慢的解释难以调和。然而，这与经济关联企业的动量共性是一致的。通过将领导者的回报分解为可预测（动量）和新闻成分，可以找到每个来源的贡献。对每一个进行排序，我们发现这两个来源对 1 个月的可预测性的贡献几乎相同，而动量的共同性仅对更长的跨公司可预测性负责。