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...

In this paper I show that information about fundamentals of the aggregate economy derived from closely held firms help predict stock returns. I construct a new economy-wide dividend price ratio that takes into account dividends and market capitalization of both listed (public) and non-listed...