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Article: A Frog in Every Pan: Information Discreteness and the Lead-lag Returns Puzzle

TitleA Frog in Every Pan: Information Discreteness and the Lead-lag Returns Puzzle
Authors
Issue Date2021
PublisherElsevier 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?
AbstractWe 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 Identifierhttp://hdl.handle.net/10722/308370
ISSN
2023 Impact Factor: 10.4
2023 SCImago Journal Rankings: 13.655
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorHuang, S-
dc.contributor.authorLee, CMC-
dc.contributor.authorSong, Y-
dc.contributor.authorXIANG, H-
dc.date.accessioned2021-12-01T07:52:26Z-
dc.date.available2021-12-01T07:52:26Z-
dc.date.issued2021-
dc.identifier.citationJournal of Financial Economics, 2021, v. 145 n. 2, p. 83-102-
dc.identifier.issn0304-405X-
dc.identifier.urihttp://hdl.handle.net/10722/308370-
dc.description.abstractWe 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.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec-
dc.relation.ispartofJournal of Financial Economics-
dc.titleA Frog in Every Pan: Information Discreteness and the Lead-lag Returns Puzzle-
dc.typeArticle-
dc.identifier.emailHuang, S: huangsy@hku.hk-
dc.identifier.authorityHuang, S=rp02052-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.jfineco.2021.10.011-
dc.identifier.scopuseid_2-s2.0-85119189998-
dc.identifier.hkuros330562-
dc.identifier.volume145-
dc.identifier.issue2-
dc.identifier.spage83-
dc.identifier.epage102-
dc.identifier.isiWOS:000833535600005-
dc.publisher.placeNetherlands-

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