Cosearch attention and stock return predictability in supply chains

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

3 Scopus Citations
View graph of relations

Author(s)

Related Research Unit(s)

Detail(s)

Original languageEnglish
Pages (from-to)265-288
Journal / PublicationInformation Systems Research
Volume28
Issue number2
Online published21 Mar 2017
Publication statusPublished - Jun 2017

Abstract

The ability to make predictions based on online searches in various contexts is gaining substantial interest in both research and practice. This study investigates a novel application of correlated online searches in predicting stock performance across supply chain partners. If two firms are economically dependent through a supply chain relationship and if information related to both firms diffuses in the market slowly or rapidly,then our ability to predict stock returns increases or decreases, respectively. We use online cosearches of stock as a proxy for the extent of information diffusion across supply chain-related firms. We identify publicly traded supply chain partners using Bloomberg data and construct cosearch networks of supply chain partners based on the weekly coviewing pattern of these firms on Yahoo! Finance. Our analyses show that the cosearch intensity across supply chain partners helps determine cross-return predictability. When investors of a focal stock pay less attention to its supply chain partners, we can use lagged partner returns to predict the future return of the focal stock. When investors’ coattention to focaland partner stocks is high, the predictability is low. Our simulated trading strategy using returns of supply chain partners with low coattention generates a significant and positive return above the market returns and performs better than the previously established trading strategy using returns of all supply chain partners

Research Area(s)

  • Correlated search, Network analysis, Online search, Stock returns, Supply chain, User attention

Citation Format(s)

Cosearch attention and stock return predictability in supply chains. / Agarwal, Ashish; LEUNG, Alvin Chung Man; Konana, Prabhudev; Kumar, Alok.

In: Information Systems Research, Vol. 28, No. 2, 06.2017, p. 265-288.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review