Geographic Lead-Lag Effects
研究发现同一总部所在地的不同行业公司股票收益存在领先滞后关系，地理领先滞后每年产生5%-6%的风险调整收益，约为行业领先滞后效应的一半，且与投资者关注度无关，而与分析师行业组织方式有关。
Abstract We document lead-lag effects on returns between coheadquartered firms in different sectors. Geographic lead-lags yield risk-adjusted returns of 5%–6% annually, half that observed for industry lead-lag effects. Whereas industry lead-lag effects are strongest among small, thinly traded stocks with low analyst coverage, geographic lead-lags are unrelated to these proxies for investor scrutiny. We propose an explanation linked to the structure of the investment analyst business, which is organized by sector, not by geographic region. Our findings suggest that in lead-lag relationships, analysts common to both leading and lagging firms are important, regardless of the number of analysts covering each individually.