We document lead-lag effects in stock returns between co-headquartered firms operating in different sectors. Such geographic lead-lags yield risk-adjusted returns of 5-6% per year, about half that observed for industry lead-lag effects. However, while industry lead-lag effects are strongest among small, thinly traded stocks with low analyst coverage, geographic lead-lags are unrelated to these proxies for investor scrutiny. We propose an explanation linking this to the structure of the investment analyst business, which is organized by sector, rather than by geographic region. In particular, our findings suggest that in lead-lag relationships, analysts common to both the leading and lagging firm are important, irrespective of the number of analysts covering each individually.

Keywords: Return predictability, geographic momentum, industry momentum, lead-lag effects, analyst coverage, limited attention

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