Keywords
investor flows, stock market, equity return, foreign investors, mutual funds, institutional investors
Abstract
This study simultaneously analyzes the relation between aggregate stock market returns and cash flows (net purchases of equity) from a broad array of investor groups in the United States over a long period of time from 1952 to 2004.We find strong evidence that quarterly flows are autocorrelated for each of the different investor groups.We further document a significant and positive contemporaneous relation between stock market returns and flows of Mutual Funds and Foreign Investors.
Original Publication Citation
Investor Flows and Stock Market Returns (with Lu Zheng), 2009, Journal of Empirical Finance, 16, 87-100.
BYU ScholarsArchive Citation
Boyer, Brian H. and Zheng, Lu, "Investor Flows and Stock Market Returns" (2009). Faculty Publications. 8931.
https://scholarsarchive.byu.edu/facpub/8931
Document Type
Peer-Reviewed Article
Publication Date
2009
Publisher
Journal of Empirical Finance
Language
English
College
Life Sciences
Department
Finance
Copyright Status
© 2008 Elsevier B.V. All rights reserved.
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