We re-examine the puzzling pattern of lead-lag returns among economically-linked firms. Our results show that investors consistently underreact to information from lead firms that arrives continuously, while information with the same cumulative returns arriving in discrete amounts is quickly absorbed into price. This finding holds across many different types of economic linkages, including shared-analyst-coverage. We conclude that the ǣfrog in the panǥ (FIP) momentum effect is pervasive in co-momentum settings, suggesting that information discreteness (ID) serves as a cognitive trigger that reduces investor inattention and improves inter-firm news transmission.

我们重新审视了经济相关公司中令人费解的领先滞后回报模式。我们的研究结果表明，投资者始终对来自领先公司的连续信息反应不足，而具有相同累积回报的离散量信息很快被价格吸收。这一发现适用于许多不同类型的经济联系，包括共享分析师覆盖。我们得出结论，泛动量效应中的 ǣfrog 在共动量设置中普遍存在，这表明信息离散性 (ID) 是一种认知触发器，可以减少投资者的注意力不集中并改善公司间的新闻传播。