| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8222 |
| DP8222 Trade Credit and International Return Comovement | |
| Rui Albuquerque; Sumudu Watugala | |
| 发表日期 | 2011-02-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We examine trade credit links between firms as a channel of international return comovement. We model firms in different countries connected by trade credit links in segmented stock markets with asymmetrically informed investors. The model predicts that the cross-serial correlation of country stock returns increases as trade credit increases. Using data from 42 countries from 1993 to 2009, we find evidence consistent with the model. Stock returns of high trade credit firms in exporting countries are predicted by the returns of the countries that consume this output. A model-implied cross-country long-short portfolio strategy yields 12-15 percent annualized, after risk adjustment. |
| 主题 | Financial Economics |
| 关键词 | Asymmetric information International stock return comovement Rebalancing trades Trade credit |
| URL | https://cepr.org/publications/dp8222 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537059 |
| 推荐引用方式 GB/T 7714 | Rui Albuquerque,Sumudu Watugala. DP8222 Trade Credit and International Return Comovement. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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