Geographic Lead-Lag Effects

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 l...

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Veröffentlicht in:	The Review of financial studies 2020-10, Vol.33 (10), p.4721-4770
Hauptverfasser:	Parsons, Christopher A., Sabbatucci, Riccardo, Titman, Sheridan
Format:	Artikel
Sprache:	eng
Schlagworte:	1993-2013 Aktie Ankündigungseffekt Branche Dividende Finanzanalyse Kapitaleinkommen Lag-Modell Räumliche Verteilung USA
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container_title	The Review of financial studies
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creator	Parsons, Christopher A. Sabbatucci, Riccardo Titman, Sheridan
description	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.
doi_str_mv	10.1093/rfs/hhz145
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source	Business Source Complete; JSTOR Archive Collection A-Z Listing; Oxford University Press Journals All Titles (1996-Current)
subjects	1993-2013 Aktie Ankündigungseffekt Branche Dividende Finanzanalyse Kapitaleinkommen Lag-Modell Räumliche Verteilung USA
title	Geographic Lead-Lag Effects
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