@techreport{Jank2011Mutual,
abstract = {The paper explores whether the co-movement of market returns and equity fund flows can be explained by a common response to macroeconomic news. I find that variables that predict the real economy as well as the equity premium are related to mutual fund flows. Changes in dividend-price ratio explain mutual fund flows beyond the information contained in returns. Further predictive variables such as default spread, relative T-Bill rate and, in particular consumption-wealth ratio also explain mutual fund flows. Mutual fund flows are, in accordance with the information-response hypothesis, forward-looking and predict real economic activity.},
address = {Cologne},
author = {Stephan Jank},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G12; G14; 330; aggregate mutual fund flows; equity premium; return predictability; asset pricing},
language = {eng},
number = {11-04},
publisher = {Centre for Financial Research},
title = {Mutual fund flows, expected returns, and the real economy},
type = {CFR working paper},
url = {http://hdl.handle.net/10419/44963},
year = {2011}
}
