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Cited by 678

The DOI matches its Crossref record; 80 of the 80 references it cites were found in a registry or an index.

International Stock Return Predictability: What Is the Role of the United States?

RAPACH, DAVID E., STRAUSS, JACK K., ZHOU, GUOFU·2013·The Journal of Finance
DOI 10.1111/jofi.12041
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Abstract

We investigate lead‐lag relationships among monthly country stock returns and identify a leading role for the United States: lagged U.S. returns significantly predict returns in numerous non‐U.S. industrialized countries, while lagged non‐U.S. returns display limited predictive ability with respect to U.S. returns. We estimate a news‐diffusion model, and the results indicate that return shocks arising in the United States are only fully reflected in equity prices outside of the United States with a lag, consistent with a gradual information diffusion explanation of the predictive power of lagged U.S. returns.

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Cites

Show all 80 references

Research works printed but not linked: 7

  1. 10.1111/0022-1082.00231 · doi:10.1111/0022-1082.00231
  2. 10.1093/rfs/6.3.527 · doi:10.1093/rfs/6.3.527
  3. 10.1007/s11222-010-9181-4 · doi:10.1007/s11222-010-9181-4
  4. 10.1111/j.1475-6803.1997.tb00259.x · doi:10.1111/j.1475-6803.1997.tb00259.x
  5. 10.1111/0022-1082.00133 · doi:10.1111/0022-1082.00133
  6. 10.1016/j.jempfin.2004.02.003 · doi:10.1016/j.jempfin.2004.02.003
  7. Rizova Savina, 2010, Predictable trade flows and returns of trade‐linked countries, 10.2139/ssrn.1562697 · doi:10.2139/ssrn.1562697

Cited by

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Metadata

Authors
RAPACH, D. E., STRAUSS, J. K., & ZHOU, G.
Venue
The Journal of Finance
Publisher
Wiley
Published
2013-07-16
Volume
68
Issue
4
Pages
1633-1662
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/jofi.12041
OpenAlex
W2319405822
Cited by
678
References
80
FWCI
63.40
Type
journal article
Language
en
Open access
closed
Licence
onlinelibrary.wiley.com/termsAndConditions#vor (vor)

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CoChat. (2026). Citation check: International Stock Return Predictability: What Is the Role of the United States? https://app.cochat.ai/papers/10.1111/jofi.12041
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RAPACH, D. E., STRAUSS, J. K., & ZHOU, G. (2013). International Stock Return Predictability: What Is the Role of the United States? The Journal of Finance. https://doi.org/10.1111/jofi.12041

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.