Shen, S., and Zivot, E. (2024). In Defense of Information Leadership Share: A Response to Shrestha and Lee (2023), Working Paper, Department of Economics, University of Washington.
Shrestha and Lee (2023) is a short note arguing that the information leadership share
(ILS) measure by Putni¸nˇs (2013), building off of the information leadership (IL) measure
by Yan and Zivot (2010), is flawed and not appropriate for measuring price leadership, and
they argue for the continued use of information share (IS) and component share (CS) related
measures instead of the ILS measure. In this paper, we argue that their critiques are flawed
and their examples are misleading. Our analysis supports the usage of the ILS measure.
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