hq geographic cluster spillover
What it checks
Stocks based in the same state co-move because local investors hold them all. When the state basket moves and our stock has not caught up, we position alongside.
Mechanism
Firms headquartered in the same state show return co-movement from local-investor home bias. Local investors herd into local stocks creating non-fundamental correlation.
Signal rule
Same-state HQ peer basket 21d return, 252d z; directional focal on |z|>1.0/1.5, hold 5/10/21d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
firm_hq_locationsWorker data table, see services/worker schema.
Expected edge
- Paper alpha
- ~3-5%/yr comovement spread
- Paper window
- 1986-2003 (Pirinsky-Wang)
Pirinsky-Wang same-state co-movement effect (~3-5% annualized comovement spread).
Related families
industry lead lagAlt-DataInformation about industry-A fundamentals diffuses slowly to firms in industry-B that are economically linked. Menzly-Ozbas (2010, JF) show upstream industry returns predict downstream industry returns at 1-month horizon, with the slowest diffusion in retail-light / illiquid names. We approximate "upstream industry" by using the broad market (SPY) and the ticker's own sector ETF as proxies (the weak-form version of the family until the BEA input-output customer-supplier matrix is loaded).
tnic momentum spilloverMomentumLee, Sun, Wang & Zhang (2023) RFS "Technology Spillovers and Cross-Predictability": the lagged 1-month return of a focal stock's TNIC-3 peer basket predicts the focal's next-month return. Sharpe 1.3, +9% annualised alpha after Fama-French 5. The signal is orthogonal to industry/sector momentum because TNIC peers cross industry boundaries (text-similarity, not SIC-similarity).
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