Review of Financial Studies Vol. 20 No. 4 2007
Industry Information Diffusion and the Lead-lag Effect in Stock Returns
Abstract
[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.]
- Volume
- 20
- Issue
- 4
- Pages
- 1113-1138
- Sources
- bibtex:phds-export.bib