Construct · 1 fields · 1 citations

lead-lag effect: a standalone construct

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Asset pricing

the tendency of returns on large stocks to predict later returns on small stocks, a source of contrarian profits not due to overreaction.

In asset pricing, lead-lag effect refers to the tendency of returns on large stocks to predict later returns on small stocks, a source of contrarian profits not due to overreaction. This meaning comes from Lo (1990) in Review of Financial Studies.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs source4 fields · 4 citationsjingle · one word, four constructs

References

Lo, A. W., & MacKinlay, A. C. (1990). When Are Contrarian Profits Due to Stock Market Overreaction? Review of Financial Studies, 3(2), 175-205. https://doi.org/10.1093/rfs/3.2.175

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