We identify all return leader-follower pairs among individual stocks using Granger causality regressions. Thus-identified leaders reliably predict their followers' returns out of sample, and the return predictability works at the level of individual stocks rather than industries. Our results indicate that, independent of its size, any firm may emerge as a return leader by being at the center of an important news development that has ramifications for other firms. Indeed, stocks undergoing news-generating developments see an increase in the number of stocks whose returns they lead.

中文翻译：

---

跟随领导者：利用股票市场发现公司之间的信息流*

我们使用格兰杰因果关系回归确定单个股票中的所有回报领导者跟随者对。这样确定的领导者可以可靠地预测样本中跟随者的回报，并且回报的可预测性在单个股票而非行业的水平上起作用。我们的结果表明，不论其规模大小，任何一家公司都可以通过成为重要新闻发展的中心而成为回报领导者，而这一新闻对其他公司也有影响。确实，经历新闻发展的股票看到其回报率领先的股票数量有所增加。