Industry information diffusion and the lead-lag effect in stock returns

• 成果类型: Article
• 署名作者: Hou, Kewei
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/revfin/hhm003
• 发表日期: 2007
• 页码: 1113
• 关键词: cross-autocorrelations; Expected returns; uncertainty; earnings

摘要

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.