Analysis of recent changes in supply chain link predictability

In this paper I will extend the research of Cohen and Frazzini (2008) and Ferment et al. (2013) and analyze supply chain predictability in the period 2005 - 2013. Cohen and Frazzini (2008) showed prove for an anomaly contrasting the ecient market hypothesis, caused by in- vestor inattention. Using portfolios constructed by customer performance I will demonstrate that the anamoly described by Cohen and Frazzini is still existant and makes it possible for a self-nancing portfolio to realize excess returns. I will show that although the anomaly is still prevalent, the signicance has diminished over time. I will make use of equal weighted as well as value weighted portfolios. Additionally, I will analyze weekly stockdata as an extension on the regularly used monthly time interval, and show that this does not improve the signicance of the results. I will also demonstrate that the use of a moving window suggests the anomaly is not diminishing, and that the use of deciles instead of quintiles yields improved results.