Author
Kaul, A., Kayaçetin, Volkan
Publication Date
2017
Publication Place
-
Elsevier
Subject
Order flow, Flight-to-quality, Economic conditions, Hedging, Liquidity, SMB
Type
Periodical
Language
English
Digital
Yes
Manuscript
No
Library
Özyeğin University
Library Asset ID
0378-4266
Record ID
58135103-9656-407e-bbe9-34cca267652f
Library Location
International Finance
Date
2017
Notes
Due to copyright restrictions, the access to the full text of this article is only available via subscription.
Sample Text
We find that the order flow differential (OFD), a flight-to-quality measure constructed as the difference between large- and small-cap stock order flows, strongly and negatively forecasts output growth and interest rates in the U.S. The predictive ability of OFD for future macroeconomic fundamentals is robust to the inclusion of return factors and business cycle predictors, and it is thus a state variable candidate in the spirit of Merton (1973). Consistent with this view, we document that OFD commands a statistically significant negative risk premium in cross-sectional asset pricing tests.
DOI
10.1016/j.jbankfin.2017.04.003
Cilt
80
