前者analysts coverage导致lead-lag effect减弱时generally,但是后者只会对industrial factor有影响(如果假设这样的former & latter调整模型:Model:Earnings = Industry factor+ Location Factor+ Firm-specific Factor, the industry & location factors of the former can predict the latter announcement separately)。 逻辑...
我准备把在中国replicate geographic lead-leg effect的一些想法抄上来: 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...
For portfolios of equal capitalization size, there is hardly any evidence of a lead-lag effect in either the mean or the variance. This suggests that the lead-lag effect is due to the difference in the capitalization size among portfolios....
For portfolios of equal capitalization size, there is hardly any evidence of a lead-lag effect in either the mean or the variance. This suggests that the lead-lag effect is due to the difference in the capitalization size among portfolios. 展开 ...
The lead-lag effect is always a hot topic in modern finance theory and has attracted a lot of attention from academics and industry.Many researchers have engaged in exploring the causes of this effect from the perspective of firm characteristics and find firm size,trading volume,analyst coverage ...
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 ...
Hou, K., 2007, Industry information diffusion and the lead-lag effect in stock returns, Review of Financial Studies 20, 1113--1138.Hou, Kewei, 2007, Industry Information Diffusion and the Lead-Lag Effect in Stock Returns, Review of Financial Studies, 20, 1113-1138....
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...
Recent performance of Brazil's stock market contributed to attracting investments from various parts of the globe. 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...
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