When a key supplier or customer makes news, the linked company's stock moves a few days later — investors are slow to update.
Cohen-Frazzini 2008: economic links between firms (supplier-customer relationships) predict returns because the market fails to instantly reflect news from one firm into the price of its linked firm. We track sector-peer momentum and industry-peer earnings surprises as proxy for these links. High peer momentum that the focus stock hasn't yet absorbed = bullish spillover.