پیامدهای توجه محدود سرمایه گذار به نقل و انتقال اطلاعات مربوط به مشتری تامین کننده

This study focuses on the market reaction to information transfers from economically linked customers. I examine whether investors have limited attention with respect to the information contained in customer earnings announcements for suppliers. Using 1083 unique customer–supplier relationships for the period 1983–2011, I find that the cumulative abnormal returns of a supplier surrounding and following linked customers’ earnings announcements are positively related to the earnings information of the customers, suggesting that customer earnings announcements convey information to suppliers. I also find that the post-earnings announcement drift in customers contributes to the cross-firm reaction, and the predictability of customer earnings surprises for suppliers’ future returns is not entirely due to limited investor attention.

This study aims to identify predictable returns by using ex ante economic links between customers and suppliers. Recent studies on the limited investor attention hypothesis,1 which state that investors’ limited attention to the arrival of new information causes return anomalies, show that investor inattention is more likely when a large number of same-day earnings announcements are made by other firms (Hirshleifer, Lim, and Teoh, 2009) or when there are a large number of Friday earnings announcements (Dellavigna & Pollet, 2009). Investor inattention is also more likely when publicly available information about economically linked firms is neglected (Cohen & Frazzini, 2008). More importantly, evidence on the limited attention to economically linked firms suggests that information diffuses from customers to suppliers, generating predictable returns across linked assets. In this paper, I examine whether investors have limited attention with respect to the information contained in customer earnings announcements for suppliers. More specifically, I investigate the immediate responsiveness of a firm's abnormal returns surrounding the announcement dates of its linked customers as well as the delayed responsiveness of stock returns following linked customers’ earnings announcements. The disclosure of customer–supplier links between firms was required according to Statement of Financial Accounting Standards (SFAS) No. 14 before 1997 and based on SFAS No. 131 after 1997, and this information is available for public use. When news about a linked firm is released to the market, the stock price of the supplier firm should respond immediately to that news if investors consider these ex ante links. In contrast, if investors pay limited attention to such links, the stock price of the supplier will react slowly to the linked firm's earnings news, and delayed abnormal returns can be expected. As a result, limited investor attention to a linked firm's announcements (i.e., a customer's unexpected earnings news)2 leads to market underreactions. By examining 1083 unique customer–supplier relationships between 1983 and 2011, I find that the cumulative abnormal returns of a supplier surrounding and following linked customers’ earnings announcements are positively related to the unexpected earnings news of customers. The findings indicate that there is a direct, immediate relation between supplier returns and customer earnings surprises, and customer earnings surprises are positively related to post-customer earnings announcement supplier returns. Additionally, these results are robust to controlling the same-industry effect, the ratios of firm size, and the percent of supplier sales from the linked customer, as well as with respect to the delayed returns over different horizons and the alternative measures of earnings surprises. Because customer–supplier links between firms are typically associated with information transfer, the main results suggest that limited investor attention to the arrival of new information about economically linked firms generates abnormal stock returns. The limited investor attention hypothesis by Cohen and Frazzini (2008) argues that customer returns predict suppliers’ future returns because investors pay limited attention to the customer–supplier link. To identify whether the predictability of supplier returns is the consequence of increases in customer returns due to customer earnings surprises, I further test how much the customer post-earnings announcement drift contributes to the cross-firm reaction between supplier returns and customer earnings surprises. The evidence supports the notion that an investor's underreaction to a customer's earnings surprise leads to a drift in the customer's post-earnings announcement returns (Bernard & Thomas, 1989), which, in turn, is reflected in the supplier's returns. In other words, the post-earnings announcement drift in customers contributes to the cross-firm reaction, and the predictability of customer earnings surprises for suppliers’ future returns is not entirely due to limited investor attention to earnings-related information transfers. This paper contributes to the existing literature in several ways. First, the paper adds to the growing stream of studies on the implications of limited attention for stock returns. Cohen and Frazzini (2008) examine how investors’ limited attention to economically related firms leads to predictable future stock returns by testing “customer momentum”, which is defined as a monthly strategy of buying firms whose customers had the most positive returns in the previous month and selling firms whose customers had the most negative returns in the previous month. If investors pay limited attention to the stock returns of economically linked firms, one would expect investors to be inattentive to earnings-related information from such firms. Consequently, I hypothesize that market underreactions for suppliers are related to limited investor attention to earnings announcements by economically linked customers. I test this hypothesis by examining immediate (delayed) market reactions surrounding (following) earnings announcements by economically linked customers. Although most studies investigate market reactions around the time of a firm's own earnings announcements,3 I focus on market reactions around the time of earnings announcements by related firms because investors tend to ignore the publicly available link between suppliers and economically related customers. That is, investors are inattentive to customer–supplier links, and stock returns are therefore predictable. Second, this study provides new insight into information diffusion. The customer–supplier links between firms are longstanding public relationships. Thus, the earnings information released by customers is closely related to the earnings information for suppliers. Prior studies have shown that one firm's earnings news can be useful in updating earnings expectations for other firms in the industry.4 For instance, Ramnath (2002) examines intra-industry information diffusion by investigating the market reaction experienced by a firm that announces its earnings subsequent to the first announcing firm in the same industry when the earnings of the latter are unexpected. A recent study by Kovacs (2011) further shows that a firm's post-earnings announcement drift is driven by information diffusion from subsequent-announcing industry peers. If earnings information is transferred from other firms in the industry, one would also expect that investors would perceive the earnings-related information from economically related announcing customers to be useful in updating their expectations for suppliers. Thus, earnings information would be expected to be transferred from economically related firms. I find that the immediate and delayed returns of a supplier5 surrounding and following customers’ earnings announcements are positively related to customers’ unexpected earnings, confirming that customer earnings announcements convey information for suppliers. The remainder of the paper is organized as follows. Section 2 reviews the related studies and develops hypotheses. Section 3 presents the sample selection and research design. The empirical results are provided in Section 4. Section 5 reports several robustness checks. Finally, Section 6 concludes the paper.

The limited investor attention hypothesis proposes that limited investor attention to the firm-specific information of economically linked firms (Cohen & Frazzini, 2008), a large number of same-day earnings announcements by other firms (Hirshleifer et al., 2009), Friday earnings announcements (Dellavigna & Pollet, 2009), and stock recommendations (Loh, 2010) cause market underreactions to new information, generating predictable returns across firms. This study investigates whether limited investor attention to linked customers’ earnings announcements leads to market underreactions. I show that the cumulative abnormal stock returns of a supplier surrounding and following its linked customers’ earnings announcement date are positively related to customers’ earnings news, which suggests that earnings announcements by economically linked customers contain important information for suppliers. In a scheme in which customer earnings surprises lead to customer returns (e.g., Bernard & Thomas, 1989) and the latter, in turn, generate supplier returns (Cohen & Frazzini, 2008), I find that the post-earnings announcement drift in customers contributes to the observed cross-firm reaction, and the predictability of customer earnings surprises for suppliers’ future returns is not entirely due to limited investor attention to earnings-related information transfers.