Competitive Advantage,Asset Return,and International Momentum

摘要：

When a company expects a positive firm-level productivity shock,it expands investments,which in turn increases output and possibly creates a competitive advantage (CA). The valuation premium which investors pay for CA leads to return dispersion and gives rise to momentum when the firms competitive advantage sustains for a substantial period of time. Empirically,this paper demonstrates that country-level CA on average explains more than 50％ of international momentum return. CA dissipates slightly more slowly than momentum because asset return is a noisy measure of the CA premium. Macroeconomic variables also have certain explanatory power for momentum,partially because they affect the cross-sectional dispersion of CA across countries.

作者: Zhiwu Chen Yangru Wu Hong Zhang

作者单位: School of Management,Yale University,135 Prospect Street,New Haven,CT 06520 Rutgers Business School-Newark and New Brunswick,Rutgers University,Newark,NJ 07102 INSEAD,1 Ayer Rajah Avenue ,Singapore 138676

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）