Geographic Lead-Lag Effects

• 成果类型: Article
• 署名作者: Parsons, Christopher A.; Sabbatucci, Riccardo; Titman, Sheridan
• 署名单位: University of Washington; University of Washington Seattle; Stockholm School of Economics; University of Texas System; University of Texas Austin
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz145
• 发表日期: 2020
• 页码: 4721
• 关键词: cross-autocorrelations; investor attention; DELAYED-REACTION; stock returns; MARKET; INFORMATION; performance; industries; location; analysts

摘要

We document lead-lag effects on returns between coheadquartered firms in different sectors. Geographic lead-lags yield risk-adjusted returns of 5%-6% annually, half that observed for industry lead-lag effects. Whereas industry lead-lag effects are strongest among small, thinly traded stocks with low analyst coverage, geographic lead-lags are unrelated to these proxies for investor scrutiny. We propose an explanation linked to the structure of the investment analyst business, which is organized by sector, not by geographic region. Our findings suggest that in lead-lag relationships, analysts common to both leading and lagging firms are important, regardless of the number of analysts covering each individually.