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Quantitative Finance · Glossaire

Qu'est-ce que « Lead–lag relationship, economic link » ?

Aussi appelé : lead--lag relationship · economic link

Definition 10.3 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapitre 10 — Cross-Sectional and Cross-Asset Features

Two securities have a lead–lag relationship when the past returns of one (the leader) predict the future returns of the other (the follower) beyond what the follower’s own past predicts. An economic link is a documented business relationship between two firms (customer and supplier, competitors, partners, a parent and its subsidiary) that gives a reason to expect one.

Weekly lead–lag between the smallest and the largest size quintiles of US stocks (equal-weighted), in three periods: the correlation of each quintile’s return with the other’s, and with its own, previous week. Derived from the Kenneth R. French Data Library (daily size portfolios, 202607 CRSP file).
Figure 10.1. Weekly lead–lag between the smallest and the largest size quintiles of US stocks (equal-weighted), in three periods: the correlation of each quintile’s return with the other’s, and with its own, previous week. Derived from the Kenneth R. French Data Library (daily size portfolios, 202607 CRSP file).
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