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dc.contributor.authorJank, Stephanen_US
dc.date.accessioned2011-03-16en_US
dc.date.accessioned2011-04-15T09:46:20Z-
dc.date.available2011-04-15T09:46:20Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/44963-
dc.description.abstractThe 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.isoengen_US
dc.publisherCentre for Financial Research Cologneen_US
dc.relation.ispartofseriesCFR working paper 11-04en_US
dc.subject.jelG12en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordaggregate mutual fund flowsen_US
dc.subject.keywordequity premiumen_US
dc.subject.keywordreturn predictabilityen_US
dc.subject.keywordasset pricingen_US
dc.titleMutual fund flows, expected returns, and the real economyen_US
dc.typeWorking Paperen_US
dc.identifier.ppn65420151Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfrwps:1104-
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

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