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The cross‐predictability of industry returns in international financial markets.
- Source :
- International Review of Finance; Dec2023, Vol. 23 Issue 4, p859-885, 27p
- Publication Year :
- 2023
-
Abstract
- This article finds evidence of return cross‐predictability among trading partners in international financial markets. We show that the predictability of international customers dominates the predictability of domestic customers, and the predictability of international intra‐industry customers dominates the predictability of international inter‐industry customers. This return cross‐predictability decreases with two country characteristics: financial sophistication and size. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 1369412X
- Volume :
- 23
- Issue :
- 4
- Database :
- Complementary Index
- Journal :
- International Review of Finance
- Publication Type :
- Academic Journal
- Accession number :
- 173971368
- Full Text :
- https://doi.org/10.1111/irfi.12426