Li, Yongli; Wang, Tianchen; Sun, Baiqing; Liu, Chao - In: Financial innovation : FIN 8 (2022), pp. 1-36
finding this paper adopts the power-law distribution to formally define the lead-lag effect, detect stock pairs with the lead-lag … significantly improve the performance of basic alpha-factor strategies. Our results therefore indicate that the lead-lag effect may … effect, and then design a pure lead-lag investment strategy as well as enhancement investment strategies by integrating the …