Industry Information Diffusion and the Lead-Lag Effect in Stock Returns

By Kewei Hou. 2007

570 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3858fa7276b7ac088c1c2dc89ffc4d738c3958dc

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Citations in the corpus

Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance (2013, unknown): “[9] Bikhchandani, Sushil, David Hirshleifer, and Ivo Welch, 1992, A Theory of Fads, Fashion, Custom, and Cultural Change as Information Cascades, Journal of Political Economy 100, 992-1026.”
Sparse Signals in the Cross‐Section of Returns (2018, unknown): “At this point, you might ask: why not just add lags of other NYSElisted returns when estimating Equation (1)? This is a natural first thought, but the problem with this approach is that it implicitly assumes all possible cross-stock relationships are equally important. There are 2,545 NYSE-listed st”
Shared analyst coverage: Unifying momentum spillover effects (2018, background): “It is possible that the monthly predictability that we show reflects a liquidity effect, wherein common information gets incorporated into the prices of large and liquid stocks sooner than into prices of small and illiquid stocks ( Hou, 2007 ).”
Sticky Expectations and the Profitability Anomaly (2018, result): “In this sense, our results are more consistent with papers that have documented the slow diffusion of information in markets (see, e.g., Hong et al. (2000); Hou (2007)).”
Attracting investor attention through advertising (2014, background): “For an incomplete list, see Huberman and Regev (2001); Hong, Torous, and Valkanov (2007); Hou (2007); Cohen and Frazzini (2008); DellaVigna and Pollet (2009); Hirshleifer, Lim, and Teoh (2009).”
Economic Links and Predictable Returns (2008, methodology): “Finally, we control for the intraindustry lead-lag effect of Hou (2006) by using suppliers and customer’s industry size sorted portfolios.”
Technological links and predictable returns (2019, unknown): “Hou (2007) report a lead-lag pattern between weekly returns of large firms and small firms from the same industry.”
Learning from Peers' Stock Prices and Corporate Investment (2014, background): “First, in reality information contained in prices di¤uses only gradually across stocks (e.g., Hou, 2007; Hong, Torous, and Valkanov, 2007; Cohen and Frazzini, 2008; Menzly and Ozbas, 2010).”
Anticipation, Acquisitions and Bidder Returns: Industry Shocks and the Transfer of Information Across Rivals (2011, unknown): “Moreover, Hou (2007) finds that industries are “the primary channels for news dissemination in the equity market.””
Information Environment and the Investment Decisions of Multinational Corporations (2013, background): “3 More broadly, the literature on information transfer shows that competitor’s disclosure activities affect investors’ perceptions about related firms (Foster, 1981; Hou, 2006; Cohen and Frazzini, 2008).”