TY  - UNPD
A1  - Croce, Mariano M.
A1  - Marchuk, Tatyana
A1  - Schlag, Christian
T1  - The leading premium
T2  - SAFE working paper ; No. 371
N2  - In this paper, we consider conditional measures of lead-lag relationships between aggregate growth and industry-level cash-flow growth in the US. 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.
T3  - SAFE working paper - 371 
Y1  - 2022
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/70110
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-701102
UR  - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2692892
N1  - Schlag gratefully acknowledges research and financial support from SAFE.
PB  - SAFE
CY  - Frankfurt am Main
ER  -