| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12631 |
| DP12631 The Leading Premium | |
| Mariano Massimiliano Croce | |
| 发表日期 | 2018-01-22 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | In this paper, we compute conditional measures of lead-lag relationships between GDP growth and industry-level cash-flow growth in the US. Our results show that firms in leading industries pay an average annualized return 4% higher than that of firms in lagging industries. The difference in the returns of leading and lagging firms is priced in the cross section of equity returns, even after we control for a large number of risk factors. This finding can be rationalized in a model in which (a) agents price growth news shocks, and (b) leading industries provide valuable resolution of uncertainty about the growth prospects of lagging industries. |
| 主题 | Financial Economics |
| URL | https://cepr.org/publications/dp12631 |
| 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/541443 |
| 推荐引用方式 GB/T 7714 | Mariano Massimiliano Croce. DP12631 The Leading Premium. 2018. |
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