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Dual Industry Effects and Cross-Stock Predictability

https://doi.org/10.2139/ssrn.4849902
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Industries and Stock Return Reversals
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Time-Varying Liquidity and Momentum Profits
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Text-Based Industry Momentum
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Geographic Lead-Lag Effects
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Comparing Predictive Accuracy
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Overreaction in Macroeconomic Expectations
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Deep Learning in Asset Pricing
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Information Uncertainty and Analyst Forecast Behavior*
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Pairs Trading: Performance of a Relative Value Arbitrage Rule
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Text-Based Network Industries and Endogenous Product Differentiation
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Dissecting Characteristics Nonparametrically
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Industry Information Diffusion and the Lead-Lag Effect in Stock Returns
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Investor Sentiment and the Cross-Section of Stock Returns
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An Intertemporal Capital Asset Pricing Model
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Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?
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Industry Relative Price-Earnings Ratios as Indicators of Investment Returns
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