文章基本信息

标题：Lead-Lag Relationships in International Stock Markets Revisited: Are They Exploitable?
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作者：Andreas Gruener ; Christian Finke
期刊名称：International Journal of Financial Research
印刷版ISSN：1923-4023
电子版ISSN：1923-4031
出版年度：2017
卷号：9
期号：1
页码：8
DOI：10.5430/ijfr.v9n1p8
出版社：Sciedu Press
摘要：This paper re-examines empirical lead-lag relationships in stock portfolios sorted by size, analyst coverage and institutional ownership across seven major developed markets. We find that lead-lag relationships continue to exist in a majority of countries. A simple trading strategy that exploits the return predictability based on lead-lag relationships yields significant abnormal returns in several markets. However, the abnormal returns quickly decline when transaction costs are introduced and become insignificant for one-way transaction costs of more than 40 basis points. Thus, lead-lag relationships are probably not exploitable in practice and will continue to exist in the future.