Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 31, 2022 erstellt
Description:
This paper investigates the lead-lag returns relation under different information signals. Using shared analyst coverage (Ali and Hirshleifer, 2020) as the main setting, I find connected-firm intraday return (CF Day) is positively associated with focal stocks’ future returns, whereas connected-firm overnight return (CF Night) shows no predictive power. Further analysis reveals a cross-firm tug of war: CF Night strongly predicts future intraday (overnight) returns for focal stocks with a negative (positive) sign; CF Day positively predicts subsequent intraday returns but is weakly associated with future overnight returns. This finding also applies to various industry lead-lag settings. The result suggests that underreaction to private information conveyed by other investors’ trading, rather than public news among peer firms, is more likely to be the source of cross-firm return predictability