✦ LIBER ✦

International equity flows and the predictability of US stock returns

✍ Scribed by Daniel Hartmann; Christian Pierdzioch

Publisher: John Wiley and Sons
Year: 2007
Tongue: English
Weight: 136 KB
Volume: 26
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.1045

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

We examined the link between international equity flows and US stock returns. Based on the results of tests of in‐sample and out‐of‐sample predictability of stock returns, we found evidence of a strong positive (negative) link between international equity flows and contemporaneous (one‐month‐ahead) stock returns. Our results also indicate that an investor, in real time, could have used information on the link between international equity flows and one‐month‐ahead stock returns to improve the performance of simple trading rules. Copyright © 2007 John Wiley & Sons, Ltd.

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