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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Stock Prices Comovements within Supply Chain Networks |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 42 |
| Date | 2019 |
| Abstract Text | This thesis builds on previous publications on the subject of stock returns predictability across economically linked firms, which mainly concerned the U.S. market, and attempts to validate those findings with respect to the European market. Using a proprietary dataset of firms’ supply chain relationships, two supply chain networks sampled from the latter market, were constructed, characterized respectively by quantified and unquantified directed edges in terms of firms’ sales exposure. These networks served to test the hypothesis that contemporaneous and lagged returns of relative customers and suppliers may explain a firm own returns. I find evidence of a consistent contemporaneous comovement pattern in the returns of linked firms drawn from both networks. Moreover, for the quantified network, the one-month customer lagged returns appear to be also significant, and the backtested self-financing strategy that leverages such customer momentum factor yields significant abnormal returns as well. |
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