Market Segmentation and Cross-Predictability of Returns

By Lior Menzly, O. Ozbas. 2009

512 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7c2d44f49c310d33ec3885a4caa4b14707f6c37e

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Citations in the corpus

Input Specificity and the Propagation of Idiosyncratic Shocks in Production Networks (2016, background): “Recent studies have found evidence of comovement in stock returns within production networks (Cohen and Frazzini 2008; Hertzel et al. 2008; Menzly and Ozbas 2010; Ahern 2012; Boone and Ivanov 2012; Kelly, Lustig, and Van Nieuwerburgh 2013).”
Network Centrality and the Cross Section of Stock Returns (2013, background): “However, recent evidence shows that investors have limited attention and do not immediately account for spillovers to even the most directly connected firms (Cohen and Frazzini, 2008; Menzly and Ozbas, 2010).”
Short Interest and Aggregate Stock Returns (2016, background): “20 and Frazzini (2008), and Menzly and Ozbas (2010).”
Investor sentiment aligned: : A powerful predictor of stock returns (2015, background): “Specifically, Technology, Energy, and Telecom are the most predictable by investor sentiment, 6See, for example, Ferson and Harvey (1991), Ferson and Korajczyk (1995), Baker and Wurgler (2006, 2007), Hong, Torous, and Valkanov (2007), Cohen and Frazzini (2008), Menzly and Ozbas (2010).”
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance (2014, background): “Other explanations rely on economic links, such as those between suppliers and customers (Cohen and Frazzini (2008)), and upstream and downstream industries (Menzly and Ozbas (2010)).”
A Comparison of New Factor Models (2017, background): “…(2008) holding period), Menzly and Ozbas (2010) Sim6 Supplier industries momentum (6-month Sim12 Supplier industries momentum (12-month holding period), Menzly and Ozbas (2010) holding period), Menzly and Ozbas (2010) Cim1 Customer industries momentum (1-month Cim6 Customer industries momentum…”
Big Data as a Governance Mechanism (2019, unknown): “To identify firms that are affected by the same economic factors as my Covered firms, I rely on prior literature showing supplier-customer industries’ correlated economic fundamentals and investors’ limited incorporation of customer industries’ fundamental information into the returns of firms in su”
Learning from Peers' Stock Prices and Corporate Investment (2014, background): “First, in reality information contained in prices di¤uses only gradually across stocks (e.g., Hou, 2007; Hong, Torous, and Valkanov, 2007; Cohen and Frazzini, 2008; Menzly and Ozbas, 2010).”
Analyst following along the supply chain (2011, unknown): “Firms along the supply chain interact with each other directly through their trading relations, and indirectly through the market prices of their inputs and outputs (Menzly and Ozbas 2010).”
Shared analyst coverage: Unifying momentum spillover effects (2018, unknown): “The flow of goods to and from industries are used as portfolio weights (Menzly and Ozbas 2010).”