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http://hdl.handle.net/10419/44963
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| Title: | | Mutual fund flows, expected returns, and the real economy  |
| Authors: | | Jank, Stephan |
| Issue Date: | | 2011 |
| Series/Report no.: | | CFR working paper 11-04 |
| 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. |
| Subjects: | | aggregate mutual fund flows equity premium return predictability asset pricing |
| JEL: | | G12 G14 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFR Working Papers, Centre for Financial Research (CFR), Universität Köln
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