International Stock Return Predictability: What Is the Role of the United States?
Year: 2013
Type: article
Abstract: ABSTRACT 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.
Source: The Journal of Finance
DOI: 10.1111/jofi.12041
Authors: DAVID E. RAPACH, JACK K. STRAUSS, GUOFU ZHOU
Institutions: Washington University in St. Louis, Saint Louis University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2319405822