PT  - JOURNAL ARTICLE
AU  - Rei Yamamoto
AU  - Naoya Kawadai
AU  - Hiroki Miyahara
TI  - Momentum Information Propagation through Global Supply Chain Networks
AID  - 10.3905/jpm.2021.1.264
DP  - 2021 Jun 10
TA  - The Journal of Portfolio Management
PG  - jpm.2021.1.264
4099  - https://pm-research.com/content/early/2021/06/10/jpm.2021.1.264.short
4100  - https://pm-research.com/content/early/2021/06/10/jpm.2021.1.264.full
AB  - Customer momentum has been demonstrated to be effective in the US and Japanese stock markets but has not been examined using a large global supply chain network. In this article, the authors propose a new customer momentum strategy based on global supply chain network data combined with prior research. They apply (1) network theory, (2) medium-term momentum propagation, and (3) higher-layer customer information based on the characteristics of global supply chain network data. Empirical analysis in global stock markets confirms that the proposed strategy has 4.5% annual return based on a long–short analysis. This strategy is more effective than standard momentum and customer momentum in former studies.TOPICS: Security analysis and valuation, developed markets, analysis of individual factors/risk premia, performance measurementKey Findings▪ The authors propose a new customer momentum strategy based on global supply chain network data. ▪ They apply (1) network theory, (2) medium-term momentum propagation, and (3) higher-layer customer information based on the characteristics of global supply chain network data.▪ Empirical analysis in global stock markets confirms that the proposed strategy has 4.5% annual return based on a long–short analysis.