Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/266690 
Year of Publication: 
2022
Series/Report no.: 
SAFE Working Paper No. 371
Publisher: 
Leibniz Institute for Financial Research SAFE, Frankfurt a. M.
Abstract: 
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.
JEL: 
G10
E32
E44
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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