Predicting firm stock returns with customer stock returns: Moderating effects of customer characteristics

Jinyan Shi, Conghui Yu, Xiangkun Liu and Yanxi Li

Research in International Business and Finance, 2020, vol. 54, issue C

Abstract: Based on the multiple regression model, this study examines the potential predictive effect of customer stock returns to firm stock returns and the moderating effect of diverse customer characteristics on the predictability. By using a sample of Chinese A-share manufacturing firms listed on the Shanghai stock exchange and Shenzhen stock exchange between 2009 and 2017, we find that customer stock returns positively predict firm stock returns in the subsequent month. Additional examinations reveal that the positive predictive effect of customer stock returns on firm stock returns is more intense for firm with high proportion of state-owned customers, customer stability, customer bargaining power and customer concentration than for those with low indicators. Overall, this study contributes to the growing literature on supply chain and predictability of stock returns by shedding light on the forecasting effect of customer stock returns on firm stock returns and the predictive heterogeneity owing to customer characteristics.

Keywords: Stock returns; Return predictability; Customer characteristics; Economic dependence; Bullwhip effect (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920302129

DOI: 10.1016/j.ribaf.2020.101280

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