The leading premium

In this paper, we consider conditional measures of lead-lag relationships between aggregate growth and industry-level cash-flow growth in the US. Our results show that firms in leading industries pay an average annualized return 3.6% higher than that of firms in lagging industries. Using both time series and cross sectional tests, we estimate an annual pure timing premium ranging from 1.2% to 1.7%. 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.

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Year of publication:	2022
Authors:	Croce, Mariano M. ; Marchuk, Tatyana ; Schlag, Christian
Publisher:	Frankfurt a. M. : Leibniz Institute for Financial Research SAFE

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Series:	SAFE Working Paper ; 371
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.2692892 [DOI] 1827023392 [GVK] hdl:10419/266690 [Handle] RePEc:zbw:safewp:371 [RePEc]
Classification:	G10 - General Financial Markets. General ; E32 - Business Fluctuations; Cycles ; E44 - Financial Markets and the Macroeconomy
Source:	EconStor

Persistent link: https://www.econbiz.de/10013465062