Geographic Lead-Lag Effects, Parsons et. al (2019) 结论性质的大概就这几条:倒叙 1. Geographic Lead-Lag Effects年化收益率5%-6%(industry lead-lag effects的1/2) 2. 行业领先滞后效应在小市值、交易数量少、分析师报道较少的股票中表现很强,但是地理上的领先滞后效应与上述投资者关注(scrutiny审查)的代理...
We document lead-lag effects in stock returns between co-headquartered firms operating in different sectors. Such geographic lead-lags yield risk-adjusted returdoi:10.2139/ssrn.2780139Parsons, Christopher A.Sabbatucci, RiccardoTitman, SheridanSocial Science Electronic Publishing...
上面的思考来源于最开始复制的时候,完全按照equal weight去考虑同一省份的公司的影响没有得到很好的效果,如果假设lead-leg effect成立,那应该想办法更精准的刻画geographic relationship strength,简单的就是value,再加一点可能是距离。金还提到了高铁开通的影响,buff得后加看看! vw确实有了不错的效果,但是这里还没有排...
Area MomentumLead-Lag EffectsAnalyst CoverageLimited AttentionWe document geographic momentum: a positive lead-lag stock return relation between neighboring firms operating in different sectors. Geographic momentum yieldsdoi:10.2139/ssrn.2780139Parsons, Christopher A...