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A Note on Global Industry Return Predictability

Josef Zorn

出版	SSRN, 2018
URL	http://books.google.com.hk/books?id=IkX7zgEACAAJ&hl=&source=gbs_api

註釋

We test the predictability of international (sub-) sector industry returns using common fundamental ratios. For the majority of sector returns we find pervasive predictive relationships using the global price to cash-flow ratio. Furthermore, we stress the cross-dependencies between sectors and lead-lag relationships even in international industries.