@article {Yamamoto197, author = {Rei Yamamoto and Naoya Kawadai and Hiroki Miyahara}, title = {Momentum Information Propagation through Global Supply Chain Networks}, volume = {47}, number = {8}, pages = {197--211}, year = {2021}, doi = {10.3905/jpm.2021.1.264}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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 a 4.5\% annual return based on a long{\textendash}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 a 4.5\% annual return based on a long{\textendash}short analysis.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/47/8/197}, eprint = {https://jpm.pm-research.com/content/47/8/197.full.pdf}, journal = {The Journal of Portfolio Management} }