Abstract

AbstractThis 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.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call