DataGrid "leave" event

On the DataGrid, the list of events includes "enter". This event fires every time a cell in the grid is entered, whether you click on the cell or arrow to it or just enter the grid in the first place.
I was hoping that the "leave" event did the same thing whenever a cell was exited. But it does not always fire, for example it fires when you arrow out of the cell, but does not fire when you click on another cell or when the form is closed. The "validating" event works similar to the "leave".
Is there any reliable way of catching the event that a cell is being exited?