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The Leading Premium / M. Max Croce, Tatyana Marchuk, Christian Schlag.
- Format:
- Book
- Author/Creator:
- Croce, Mariano M.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w25633.
- NBER working paper series no. w25633
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2019.
- Summary:
- In this paper, we compute conditional measures of lead-lag relationships between GDP growth and industry-level cash-flow growth in the US. Our results show that firms in leading industries pay an average annualized return 4% higher than that of firms in lagging industries. Using both time series and cross sectional tests, we estimate an annual timing premium ranging from 1.5% to 2%. 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.
- Notes:
- Print version record
- March 2019.
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