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The Leading Premium
The Review of Financial Studies ( IF 8.414 ) Pub Date : 2023-01-24 , DOI: 10.1093/rfs/hhad009
Mariano M Croce, Tatyana Marchuk, Christian Schlag

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.

中文翻译:

领先的溢价

在本文中,我们考虑了美国总增长与行业层面现金流增长之间超前滞后关系的条件测量。我们的结果表明,领先行业的公司支付的平均年化回报率比落后行业的公司高 3.6%。使用时间序列和横截面测试,我们估计年度纯时间溢价在 1.2% 到 1.7% 之间。这一发现可以在一个模型中合理化,在该模型中 (a) 代理商为增长新闻冲击定价,以及 (b) 领先行业为落后行业增长前景的不确定性提供了有价值的解决方案。
更新日期:2023-01-24
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