The cross‐predictability of industry returns in international financial markets

Xin Wang and Haofei Zhang

International Review of Finance, 2023, vol. 23, issue 4, 859-885

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.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:bla:irvfin:v:23:y:2023:i:4:p:859-885

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