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International stock return predictability : what is the role of the United States
We investigate lead-lag relationships among monthly country stock returns and identify a leading role for the United States: lagged U.S. returns significantly predict returns in numerous non-U.S. industrialized countries, while lagged non-U.S. returns display limited predictive ability with respect to U.S. returns. We estimate a news-diffusion model, and the results indicate that return shocks arising in the United States are only fully reflected in equity prices outside of the United States with a lag, consistent with a gradual information diffusion explanation of the predictive power of lagged U.S. returns..Printed Journal, baca ditempat
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| JOF6804 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : Wiley Periodicals |
|---|---|
| Edisi | - |
| Subjek | - |
| ISBN/ISSN | 221082 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |