產業網絡與股票報酬預測

Abstract

產業在產業網絡中的位置可能影響資訊擴散及經濟衝擊傳遞,本研究之實證分析指 出,產業的上下游投資組合報酬可以交互預測股票報酬,與次月股票報酬為同向變動; 相較於非中心產業,屬於中心產業的產業報酬及上下游投資組合報酬,對於股票報酬有 更強的預測性,這也表示了中心產業和其相關產業有較高的連結性。再者,我們將自融 資交易策略在不同產業條件及不同市場條件下做分析,熊市情況下的上游投資策略會有 最大的 5.8%年報酬率;在穩定市場情況下,上游投資策略績效會大幅地上升,然而, 在波動市場情況下,原本績效較好的上游投資策略績效下降,而原本績效較差的下游投 資策略績效較為提升。

Previous studies have documented how information diffusion and economic shocks can change with the position in the inter-industry network. Our empirical result herein provides evidence that both supplier portfolio returns and customer portfolio returns can cross-predict firm-level stock returns, and both of them are positively related to future stock returns. We also find that lagged own-industry, lagged supplier portfolio returns, and lagged customer portfolio returns of the central industries whose centrality are greater than 0.165 have better predictability at firm-level stock returns than those of non-central industries. Our result suggests that central industries are associated more strongly with linked firms than non-central industries. We also investigate the self-financing trading strategies under various industry setting and market conditions, showing that a supplier strategy in the bear market yields a maximum return of 5.8% per annum. In addition, the performance of the supplier strategy increases considerably in the stable market, but the performance of the supplier strategy decreases and the performance of the customer strategy increase in the volatile market.