Strategy #0000000077 · Information diffusion and cross-sectional momentum
Lead-lag effects across economically linked firms
Enter the leader return, assumed pass-through, lag periods and cost for a conditional follower scenario.
News about customers, suppliers, peers or conglomerate divisions may diffuse gradually across linked stocks. Research finds customer returns and earnings news can lead suppliers; price-delay measures estimate information absorption. Real economic links change, and a leader’s return is not a directly causal or replicable signal.
Pass-through and lag are scenario assumptions; company links and information dates need point-in-time verification.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
What follower move follows an assumed pass-through from a customer or peer lead?
News about customers, suppliers, peers or conglomerate divisions may diffuse gradually across linked stocks. Research finds customer returns and earnings news can lead suppliers; price-delay measures estimate information absorption. Real economic links change, and a leader’s return is not a directly causal or replicable signal.
Enter the leader return, assumed pass-through, lag periods and cost for a conditional follower scenario.
Pass-through and lag are scenario assumptions; company links and information dates need point-in-time verification.
- Signal inputEnter the leader return, assumed pass-through, lag periods and cost for a conditional follower scenario.
- Net scenarioPass-through and lag are scenario assumptions; company links and information dates need point-in-time verification.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
\widehat{R}_{follower,t+k}=\beta_{link}R_{leader,t}-C
β_link is an assumed pass-through; k is the lag in periods; costs include turnover and execution friction.
Greeks: the directional intuition
- 網路更新
- Measures sensitivity to implied volatility.
- 混淆因素
- Measures sensitivity to implied volatility.
- 執行延遲
- Measures sensitivity to implied volatility.
\widehat{R}_{follower,t+k}=\beta_{link}R_{leader,t}-C
Practical context · published observations
Lead-lag effects across economically linked firms: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
Pass-through and lag are scenario assumptions; company links and information dates need point-in-time verification. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Related methods differ in event and signal definitions.
Compare the rule, data and execution assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Core signal | Event / metric rule | News about customers, suppliers, peers or conglomerate divisions may diffuse gradually across linked stocks. Research finds customer returns and earnings news can lead suppliers; price-delay measures estimate information absorption. Real economic links change, and a leader’s return is not a directly causal or replicable signal. | Pass-through and lag are scenario assumptions; company links and information dates need point-in-time verification. |
| Conditional sort | Portfolio comparison | Sort companies on information available at the time. | Breakpoints and sample size affect results. |
| Multi-signal version | Factor combination | Combine another quality or event signal. | May add collinearity and multiple-testing risk. |
Pass-through and lag are scenario assumptions; company links and information dates need point-in-time verification.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.