Skip to main content

Table 15 Annualized alphas (%) for the long-short strategies by country

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

Ā 

BM

CD

CS

EN

FI

HC

IN

RE

TEC

TEL

UT

\(US\to k\)

āˆ’ā€‰0.37

1.13

0.77

6.10*

2.33*

7.79*

0.42

8.17*

4.08*

3.14*

1.96*

  1. This table presents the annualized alphas corresponding to the strategy that, each week and for each industry (Basic Materials (BM), Consumer Discretionary (CD), Consumer Staples (CS), Energy (EN), Financials (FI), Health Care (HC), Industrials (IN), Real Estate (RE), Technology (TEC), Telecommunications (TEL), and Utilities (UT)), takes a long position in the non-US country with the highest predicted return and a short position in the non-US country with the lowest predictive return. \(US\to k\) refers to the prediction of country k returns using the US returns. Numbers in bold indicate the rejection of the null of no predictive ability at the 5% level. One asterisk, ā€œ*ā€, denotes significance at the 1% level