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

Material TypeArticleLanguageEnglish
TitleInternational Stock Return Predictability: What Is the Role of the United States? Author(S)DAVID E. RAPACH (Author)
Abstract  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. ...Paginationp 1633-1662
SubjectEconomicsDescriptorsFinance
Journal TitleThe Journal of Finance  
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