The Leading Premium

• 成果类型: Article
• 署名作者: Croce, Mariano M.; Marchuk, Tatyana; Schlag, Christian
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad009
• 发表日期: 2023
• 页码: 2997
• 关键词: cross-section; STOCK; INFORMATION; returns; time; consumption; diffusion

摘要

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. (JEL G10, E32, E44)