是对于lead/lag firms中的单独的公司的报道,投资者通过观察这些报告,从而加速信息的传递,导致lead lag effect没有那么显著;还是通过common coverage揭示industrial fundamental linkage。paper认为需要找这样的leading sort variables,既能够捕捉到这种lead-lag effects,又能够表征这种不同coverage的差异。前者analysts coverage...
Since the lead-lag effect captures the relationship between two markets, the definition of those markets provides a wide applicability of this methodology. Miller (1980) used the lead-lag effect to verify that the wholesale price leads the producer price of pork meat in the United States. With...
内容提示: 象筹翳署湖北电力等等+’2001年12月r ) ec 2001LEAD LAG 超前滞后功能的分析及应用刘稳新,柳长海( 湖北汉川电厂,湖北汉川432321)[ 摘要] 过程参量的高频大幅波动,蛤PID调节系统的稳定性造成了冲击,影响了调节品质。利用I,EADLAG的超前滞后功能对这类状态参数进行适当的处理,兢果明显。文章对I。EADI,...
lead-lag effectnetworksIn many settings, the literature argues monthly long-short portfolio alphas of up to 1.5% from a lead-lag sort method provide evidence that information diffusesBurt, AaronHrdlicka, Christopher MSocial Science Electronic Publishing...
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 ...
This study aims to examine the lead-lag effect between the stock market of the BRICs, from March 2004 until March 2013, using the methodology proposed by Shih Chen and Hsiao (2008). Among the results the research emphasizes, we analyzed that the Brazilian market is leading others stock ...
PERTTUNEN, P. YLI-OLLI AND A. GUNASEKARAN, 1994c, Modelling the Lead- Lag Effect betweeen Dual Class Shares: Evidence from Finland, International Journal of Systems Science, 25, 1205-1211.Modelling the lead-lag effect between dual-class shares - Martikainen, Perttunen, et al. - 1994...
Moderate impact of ERPS on management accounting: a lag or permanent outcome? The currently most advanced administrative corporate IT solutions have emerged in the form of enterprise resource planning systems (ERPS). The number of ad... Markus Granlund a,Teemu Malmi b - 《Management Accounting ...
Lead-lag effects in the mean and variance of returns of size-sorted UK equity portfolios We test for lead-lag effects in the mean and variance among size-sorted portfolios for the UK stock market. We construct three sets of portfolios, namely a... A Kanas - 《Empirical Economics》 被引量...
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!