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Cited by 601

The DOI matches its Crossref record; 21 of the 21 references it cites were found in a registry or an index.

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

Hou, Kewei·2007·Review of Financial Studies
DOI 10.1093/revfin/hhm003
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Abstract

I argue that the slow diffusion of industry information is a leading cause of the lead-lag effect in stock returns. I find that the lead-lag effect between big firms and small firms is predominantly an intra-industry phenomenon. Moreover, this effect is driven by sluggish adjustment to negative information, and is robust to alternative determinants of the lead-lag effect. Small, less competitive and neglected industries experience a more pronounced lead-lag effect. The lead-lag effect is related to the post-announcement drift of small firms following the earnings releases of big firms within the industry.

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Metadata

Authors
Hou, K.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2007-01-22
Volume
20
Issue
4
Pages
1113-1138
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/revfin/hhm003
OpenAlex
W3125297504
Cited by
601
References
21
FWCI
23.03
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Industry Information Diffusion and the Lead-lag Effect in Stock Returns. https://app.cochat.ai/papers/10.1093/revfin/hhm003
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Hou, K. (2007). Industry Information Diffusion and the Lead-lag Effect in Stock Returns. Review of Financial Studies. https://doi.org/10.1093/revfin/hhm003

Data sources

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.