The cross-predictability of industry returns in international financial markets |
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Authors: | Xin Wang Haofei Zhang |
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Affiliation: | 1. School of Economics, Shandong University, Jinan, China;2. School of Finance, Nankai University, Tianjin, China |
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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. |
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Keywords: | inter-industry trading partners international financial markets intra-industry trading partners return predictability |
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