The Leading Premium

Mariano Croce, Tatyana Marchuk and Christian Schlag

No 25633, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: In this paper, we compute conditional measures of lead-lag relationships between GDP growth and industry-level cash-flow growth in the US. Our results show that firms in leading industries pay an average annualized return 4% higher than that of firms in lagging industries. Using both time series and cross sectional tests, we estimate an annual timing premium ranging from 1.5% to 2%. 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-codes: G11 G12 (search for similar items in EconPapers)
Date: 2019-03
New Economics Papers: this item is included in nep-fdg
Note: AP
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Citations: View citations in EconPapers (6)

Published as Mariano M Croce & Tatyana Marchuk & Christian Schlag & Ralph Koijen, 2023. "The Leading Premium," The Review of Financial Studies, vol 36(8), pages 2997-3033.

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