A frog in every pan: Information discreteness and the lead-lag returns puzzle

Autor:	Hong Xiang, Yang Song, Charles M.C. Lee, Shiyang Huang
Rok vydání:	2022
Předmět:	Economics and Econometrics Transmission (telecommunications) Strategy and Management Accounting Momentum effect Econometrics Economics Lead–lag compensator Finance
Zdroj:	Journal of Financial Economics. 145:83-102
ISSN:	0304-405X
DOI:	10.1016/j.jfineco.2021.10.011
Popis:	We re-examine the puzzling pattern of lead-lag returns among economically-linked firms. Our results show that investors consistently underreact to information from lead firms that arrives continuously, while information with the same cumulative returns arriving in discrete amounts is quickly absorbed into price. This finding holds across many different types of economic linkages, including shared-analyst-coverage. We conclude that the ǣfrog in the panǥ (FIP) momentum effect is pervasive in co-momentum settings, suggesting that information discreteness (ID) serves as a cognitive trigger that reduces investor inattention and improves inter-firm news transmission.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::086c698c3501c2b750b16985a84c1403 https://doi.org/10.1016/j.jfineco.2021.10.011 Zobrazit plný text záznamu Full Text from ScienceDirect