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CFR Working Papers, Centre for Financial Research (CFR), Universität Köln >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/44963
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Jank, Stephan | | en_US |
| dc.date.accessioned | | 2011-03-16 | | en_US |
| dc.date.accessioned | | 2011-04-15T09:46:20Z | | - |
| dc.date.available | | 2011-04-15T09:46:20Z | | - |
| dc.date.issued | | 2011 | | en_US |
| 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_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Centre for Financial Research Cologne | | en_US |
| dc.relation.ispartofseries | | CFR working paper 11-04 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.jel | | G14 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | aggregate mutual fund flows | | en_US |
| dc.subject.keyword | | equity premium | | en_US |
| dc.subject.keyword | | return predictability | | en_US |
| dc.subject.keyword | | asset pricing | | en_US |
| dc.title | | Mutual fund flows, expected returns, and the real economy | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 65420151X | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | CFR Working Papers, Centre for Financial Research (CFR), Universität Köln
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