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https://hdl.handle.net/10419/44963
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Jank, Stephan | en |
dc.date.accessioned | 2011-03-16 | - |
dc.date.accessioned | 2011-04-15T09:46:20Z | - |
dc.date.available | 2011-04-15T09:46:20Z | - |
dc.date.issued | 2011 | - |
dc.identifier.uri | http://hdl.handle.net/10419/44963 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aUniversity of Cologne, Centre for Financial Research (CFR) |cCologne | en |
dc.relation.ispartofseries | |aCFR working paper |x11-04 | en |
dc.subject.jel | G12 | en |
dc.subject.jel | G14 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | aggregate mutual fund flows | en |
dc.subject.keyword | equity premium | en |
dc.subject.keyword | return predictability | en |
dc.subject.keyword | asset pricing | en |
dc.title | Mutual fund flows, expected returns, and the real economy | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 65420151X | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:cfrwps:1104 | en |
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