Lead-lag

Some of these studies, based on behavioural finance, state that the information diffusion process is relevant in the predictability of stock prices. The rate of reaction to news plays an important role in the lead-lag effect.

We utilize robust lead-lag indicators to uncover the origin of price discovery and we propose an econometric model exploiting that effect with level 1 data of limit order books (LOB).

Whereas industry lead-lag effects were stronger among small, thinly traded stocks with low analyst coverage, geographic lead-lags were unrelated to these proxies for investor scrutiny.

We realize that the lead-lag relationship is a "strategy-enhancer," but not a strategy in itself.