The Impact Of A-share Supply Chain Linkage On Stock Returns

Under the context of the new era,the economic correlation between enterprises is becoming more complex,and the related enterprises are often impacted by a lot of common information.However,the current way of identifying peer companies from a single dimension(such as industry correlation and regional correlation)has omitted information from other dimensions.Therefore,in order to deepen the understanding of the market operation mode and facilitate the majority of investors to optimize investment decisions and manage portfolio risks,this paper aims to find a partner company identification mode that can reflect the multidimensional connection between enterprises.Based on the observation of the stock market and the review of previous studies by scholars,this paper proposes to explore the relationship between the stock return rate of the peer company and the expected return of the target company by means of supply chain correlation.In terms of research methods,this paper compares the homogeneity differences of the three identification methods(industry correlation,regional correlation and supply chain correlation)with univariate sorting group method,and the results show that the fundamentals of the peer companies identified by supply chain correlation are more similar.At the same time,in order to control the many factors affecting stock returns,this paper refers to the practice of scholars and uses Fama-MacBeth regression to compare the forecasting ability of several correlation methods.It is found that,compared with the other two methods,supply chain correlation is more effective in predicting the expected stock returns of target companies.Then,from the perspective of information transmission mechanism,this paper focuses on the factors that may affect the prediction effect of supply chain correlation,including information complexity,analyst attention,investor attention and investor structure characteristics.The empirical results show that more complex information,less analyst attention,less investor attention and large retail investors significantly enhance the positive predictive ability of supply chain correlation rate of return on individual stocks in the future.These results were robust by changing the explained variables and using mixed OLS regression.Further analysis shows that the "lead-lag effect" of supply chain correlation is different due to the property rights of enterprises,the maturity of the industry,the bargaining power of the supply chain and the market sentiment.First of all,both state-owned enterprises and private enterprises have significant supply chain momentum.However,due to the relatively stable operation of state-owned listed enterprises,they are not attractive to a large number of retail investors in the A-share market who pursue high returns,so the supply chain momentum gains of state-owned enterprises are relatively high.Secondly,enterprises located in emerging industries do not have significant supply chain momentum gains,while those in non-emerging industries are quite significant.Similarly,enterprises with a high degree of supply chain concentration have a high supply chain momentum gain,while those with a low degree of supply chain concentration do not have a significant momentum gain,and the differentiation between the two is serious.In addition,under the pessimistic market sentiment,the predictive ability of supply chain correlation rate of return is relatively strong.Based on the above conclusions,this paper suggests that market regulators should introduce a way to identify the correlation between enterprises from multiple dimensions,encourage listed companies to carry out high-quality information disclosure,and the majority of small and medium investors should also improve their knowledge reserve,to conduct transactions in a more rational way.