报告题目：Ownership Links and Return Predictability
报 告 人：凃俊（新加坡管理大学 副教授）
主 持 人：刘京军（中山大学岭南学院 副教授）
时 间： 2018年11月5日（周一）下午14:30-16:00
语 言： 中文+英文
We investigate the return predictability between subsidiaries and their parent firms by using an international sample of parent firms with complex ownership structures from 23 developed markets. We find that portfolio returns of the ownership-weighted subsidiaries can significantly predict the future returns of a parent firm in terms of statistics and economics. Specifically, a simple long/short portfolio strategy for a global sample sorted by lagged monthly returns of subsidiaries yields an FF5 abnormal return of 112 (value-weighted) or 128 (equal-weighted) basis points per month. We further find indirectly owned subsidiaries, foreign subsidiaries, different-industry subsidiaries, and minor ownership subsidiaries generate larger predictive power than directly owned subsidiaries, local subsidiaries, same-industry subsidiaries, and major ownership subsidiaries for future returns of parent firms. We find that ownership complexity, diversification discounts, subsidiaries’ relative size, limits to arbitrage, and investor limited attention may be mechanisms and reasons for the underreaction of parent firm returns for subsidiaries’ returns.