Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/44963
Authors: 
Jank, Stephan
Year of Publication: 
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

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.