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- Publisher Website: 10.1016/j.jfineco.2021.10.011
- Scopus: eid_2-s2.0-85119189998
- WOS: WOS:000833535600005
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Article: A Frog in Every Pan: Information Discreteness and the Lead-lag Returns Puzzle
| Title | A Frog in Every Pan: Information Discreteness and the Lead-lag Returns Puzzle |
|---|---|
| Authors | |
| Issue Date | 2021 |
| Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec |
| Citation | Journal of Financial Economics, 2021, v. 145 n. 2, p. 83-102 How to Cite? |
| Abstract | 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. |
| Persistent Identifier | http://hdl.handle.net/10722/308370 |
| ISSN | 2021 Impact Factor: 8.238 2020 SCImago Journal Rankings: 11.673 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Huang, S | - |
| dc.contributor.author | Lee, CMC | - |
| dc.contributor.author | Song, Y | - |
| dc.contributor.author | XIANG, H | - |
| dc.date.accessioned | 2021-12-01T07:52:26Z | - |
| dc.date.available | 2021-12-01T07:52:26Z | - |
| dc.date.issued | 2021 | - |
| dc.identifier.citation | Journal of Financial Economics, 2021, v. 145 n. 2, p. 83-102 | - |
| dc.identifier.issn | 0304-405X | - |
| dc.identifier.uri | http://hdl.handle.net/10722/308370 | - |
| dc.description.abstract | 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. | - |
| dc.language | eng | - |
| dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec | - |
| dc.relation.ispartof | Journal of Financial Economics | - |
| dc.title | A Frog in Every Pan: Information Discreteness and the Lead-lag Returns Puzzle | - |
| dc.type | Article | - |
| dc.identifier.email | Huang, S: huangsy@hku.hk | - |
| dc.identifier.authority | Huang, S=rp02052 | - |
| dc.description.nature | link_to_subscribed_fulltext | - |
| dc.identifier.doi | 10.1016/j.jfineco.2021.10.011 | - |
| dc.identifier.scopus | eid_2-s2.0-85119189998 | - |
| dc.identifier.hkuros | 330562 | - |
| dc.identifier.volume | 145 | - |
| dc.identifier.issue | 2 | - |
| dc.identifier.spage | 83 | - |
| dc.identifier.epage | 102 | - |
| dc.identifier.isi | WOS:000833535600005 | - |
| dc.publisher.place | Netherlands | - |