International Stock Return Predictability: What Is the Role of the United States?

• 成果类型: Article
• 署名作者: Rapach, David E.; Strauss, Jack K.; Zhou, Guofu
• 署名单位: Saint Louis University; Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12041
• 发表日期: 2013
• 页码: 1633-1662
• 关键词: institutional investors; PREDICTIVE REGRESSIONS; tests; prices; equity; RISK; heteroskedasticity; AUTOCORRELATIONS; CONVERGENCE; adjustment

摘要

We investigate lead-lag relationships among monthly country stock returns and identify a leading role for the United States: lagged U.S. returns significantly predict returns in numerous non-U.S. industrialized countries, while lagged non-U.S. returns display limited predictive ability with respect to U.S. returns. We estimate a news-diffusion model, and the results indicate that return shocks arising in the United States are only fully reflected in equity prices outside of the United States with a lag, consistent with a gradual information diffusion explanation of the predictive power of lagged U.S. returns.