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International Stock Return Predictability: What Is Role of the United States?
We investigate lead-lag relationships among 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 (after controlling for national economic variables and countries' own lagged returns), while lagged non-U.S. returns display little predictive ability with respect to U.S. returns. The predictive power of lagged U.S. returns is robust across a number of dimensions, including out-of-sample tests. Information frictions seem a ready explanation of the predictive power of lagged U.S. returns; indeed, structural estimation of a news-diffusion model indicates that return shocks emanating in the United States are only fully reflected in equity prices outside of the United States with a lag. Overall, our results indicate that predictive regressions for non-U.S. countries should be augmented with lagged U.S. returns to capture an important source of international return predictability..Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : The American Finance Association |
|---|---|
| Edisi | - |
| Subjek | Business cycle Global financial crisis Granger causality Information diffusion Equity premium Predictive regression model Combination forecast |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |