领先保费

IF 6.8 1区经济学 Q1 BUSINESS, FINANCE

Review of Financial Studies Pub Date : 2023-01-24 DOI:10.1093/rfs/hhad009

Mariano M Croce, Tatyana Marchuk, Christian Schlag

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引用次数: 0

摘要

摘要在本文中，我们考虑了美国总增长与行业级现金流增长之间的领先滞后关系的条件度量。我们的研究结果表明，领先产业企业的平均年化收益率比落后产业企业高3.6美元。使用时间序列和横断面测试，我们估计每年的纯时机溢价在1.2美元到1.7美元之间。这一发现可以在以下模型中合理化:(a)代理价格增长新闻冲击，(b)领先行业为落后行业增长前景的不确定性提供有价值的解决方案。作者们提供了一份互联网附录，可以在牛津大学出版社的网站上找到，就在最终发表论文的链接旁边。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Leading Premium

Abstract In this paper, we consider conditional measures of lead-lag relations between aggregate growth and industry-level cash flow growth in the United States. 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. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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来源期刊

Review of Financial Studies Multiple-

CiteScore

16.00

自引率

2.40%

发文量

期刊介绍： The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.