近日，北京大学市场经济研究中心研究员李少然助理教授的合作论文《Dual peer effects and cross-stock predictability》在金融学领域期刊《Journal of Financial Economics》2026年6月第180卷正式发表。

摘要：This paper introduces a Peer Index (PI) constructed from economically motivated peer networks that summarizes (i) the strength of a firm’s peers and (ii) the firm’s position within its peer group. PI predicts stock returns and earnings surprises over short and long horizons. Machine-learning models based solely on firm-level characteristics do not subsume PI’s predictive power, supporting the interpretation that it captures genuine cross-stock information. Lag-augmented local projections show that positive PI innovations are followed by higher next-month returns that gradually decay without reversal, consistent with slow diffusion of peer information into prices.