In this paper, I test whether cross‐predictability exists among trade‐linked industries across international borders and explore possible explanations for this. I find strong evidence of cross‐border stock return predictability among trade‐linked industries. A trading strategy of buying industry portfolios for which trade‐linked industry had high returns, and shorting industry portfolios for which trade‐linked industry had low returns, yields an annualized return of 12%. Such returns cannot be explained by known risk factors and are different from industry momentum. I find some evidence that counters the information segmentation explanation for cross‐predictability and find support for illiquidity as a new channel of explanation.

中文翻译：

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行业层面的贸易联系可以预测库存收益吗？

在本文中，我测试了跨国界与贸易相关的行业之间是否存在交叉可预测性，并探讨了可能的解释。我发现有力的证据表明贸易相关行业之间的跨境股票收益可预测性。一种购买具有贸易联系的行业具有高回报的行业投资组合，而做空具有贸易联系的行业具有低回报的行业投资组合的交易策略，其年化回报率为12％。此类回报无法用已知的风险因素来解释，并且与行业动力不同。我发现一些证据可以反驳信息细分对交叉预测性的解释，并找到了对流动性不足的支持作为新的解释渠道。