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Autor:innen: 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
CFR working paper No. 11-04
Verlag: 
University of Cologne, Centre for Financial Research (CFR), Cologne
Zusammenfassung: 
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.
Schlagwörter: 
aggregate mutual fund flows
equity premium
return predictability
asset pricing
JEL: 
G12
G14
Dokumentart: 
Working Paper

Datei(en):
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