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20210109_吕漫妮_论文展示1
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2022-08-03
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1. Both geographic position and industry group firms by 2. It help distinguish b
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Geographic Lead-Lag Effects
Christopher A. Parsons, Riccardo Sabbatucci and Sheridan Titman
The Review of Financial Studies, 2020.10
吕漫妮
2021.1.9
Contents
• Introduction
• Background & Motivation
• Research Problem
• Contribution
• Model Design: Theoretical Motivation, Data
• Empirical Results
• Validate Key Assumptions
• Main Results
• Robustness and Extensions
• Conclusion
2021/1/9
Lv Manni
2
Backgrounds & Motivation
• Stock prices of firms with common characteristics such as
industry and geographic position tend to move together.
However, empirical studies document significant lead-lag
relationships.
• Lead-lag profits tend to be modest when the “lagging” firm is
heavily covered by analysts.
• Analysts tends to specialize by industrial sector rather than
geography.
How to understand the channel linking the scrutiny level to
observed lead-lag relationships more explicitly, not only by
individual analyst coverage but also by shared one?
Can it be inspired with the help of geographic lead-lag effects?
2021/1/9 3
Lv Manni
Why headquarters locations?
1. Both geographic position and industry group firms by
their sensitivity to common fundamental shocks, causing
lead-lag effects.
2. It help distinguish between analyst coverage measured
at the level of the individual firm, and between pairs of firms.
Analysts specialize by industrial sector instead of
geographic position. A higher individual analyst following is
almost certain to generate significant overlaps with industry
peers. The geography sorting criteria should not generate
substantial overlaps in analyst coverage.
2021/1/8 4
Lv Manni
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