Industry return lead-lag relationships between the US and other major countries

Financial Innovation

Table 14 Annualized alphas (%) for the long-short strategies by industry

	CN	FR	GER	JP	CH	UK
\(US\to k\)	0.46	1.77	6.53*	1.05	10.70*	0.64
\(k\to US\)	0.82	1.04	2.04*	0.96	4.48*	− 0.27

This table presents the annualized alphas corresponding to the strategy that, each week and for each country (Canada (CN), France (FR), Germany (GE), Japan (JP), China (CH), and the UK), takes a long position in the industry with the highest predicted return and a short position in the industry with the lowest predictive return. \(US\to k\) refers to the prediction of country k returns using the US returns, and \(k\to US\) refers to the prediction of US returns using the country k returns. Numbers in bold indicate the rejection of the null of no predictive ability at the 5% level. One asterisk, “*”, denotes significance at the 1% level