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 firm’s 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 crosssectional 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年中国金融国际年会

会议地点: 成都

会议语种:英文

页码: 1-37

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）