A frog in every pan: Information discreteness and the lead-lag returns puzzle

• 成果类型: Article
• 署名作者: Huang, Shiyang; Lee, Charles M. C.; Song, Yang; Xiang, Hong
• 署名单位: University of Hong Kong; Stanford University; University of Washington; University of Washington Seattle; Hong Kong Polytechnic University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.10.011
• 发表日期: 2022
• 页码: 83-102
• 关键词: Momentum spillovers; Economically linked firms; Return prediction; investor inattention; Belief updating

摘要

We re-examine the puzzling pattern of lead-lag returns among economically-linked firms. Our results show that investors consistently underreact to information from lead firms that arrives continuously, while information with the same cumulative returns arriving in discrete amounts is quickly absorbed into price. This finding holds across many different types of economic linkages, including shared-analyst-coverage. We conclude that the aefrog in the pang(FIP) momentum effect is pervasive in co-momentum settings, suggesting that information discreteness (ID) serves as a cognitive trigger that reduces investor inattention and improves inter-firm news transmission. (C) 2021 Elsevier B.V. All rights reserved.