Industry Information Diffusion and the Lead-Lag Effect in Stock Returns
Industry Information Diffusion and the Lead-Lag Effect in Stock Returns
复制标题
DOI：
10.2139/ssrn.463005
复制
发表时间：
2007-07
期刊：
影响因子：
--
通讯作者：
Kewei Hou
中科院分区：
文献类型：
--
作者：
Kewei Hou
我认为，行业信息的缓慢扩散是导致股票收益率领先滞后效应的主要原因。我发现，大企业和小企业之间的领先滞后效应主要是一个行业内的现象。此外，这种影响是由缓慢的调整负面信息，是强大的领先滞后效应的替代决定因素。小型、竞争力较弱和被忽视的行业经历了更明显的领先-滞后效应。领先滞后效应与行业内大公司发布收益后小公司的公告后漂移有关。
I argue that the slow diffusion of industry information is a leading cause of the lead-lag effect in stock returns. I find that the lead-lag effect between big firms and small firms is predominantly an intra-industry phenomenon. Moreover, this effect is driven by sluggish adjustment to negative information, and is robust to alternative determinants of the lead-lag effect. Small, less competitive and neglected industries experience a more pronounced lead-lag effect. The lead-lag effect is related to the post-announcement drift of small firms following the earnings releases of big firms within the industry.