When the Tail Wags the Dog: Industry Leaders and Cross-Industry Information Diffusion

摘要：

We document a strong lead-lag relationship between the stock returns of minor segment firms and pure players in industry leaders major segment industries. Our results suggest that this relationship is driven by representativeness bias of severely attention-constrained investors. These investors tend to trade the entire industry portfolio based on the stock performance of industry leaders; however,they are unable to discern which segments temporarily affect industry leaders stock price. As a consequence,the interaction between investors inattention and representativeness bias lead to temporary mispricing of pure players. This effect is especially strong when industry leaders are more diversified and more publicly recognized. Our results are not due to alternative explanations based on economic links. By exploring two carefully-designed event studies,we show our results are also very robust in the context of structural changes.

关键词： Limited attention Category Investment Information Diffusion

作者: Ling Cen Kalok Chan Sudipto Dasgupta Ning Gao

作者单位: Department of Finance,Hong Kong University of Science and Technology,Clear water Bay,Kowloon,Hong Ko Department of Finance,University of Manchester

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）