نویسنده
Kaul, A., Kayaçetin, Volkan
تاریخ انتشار
2017
محل انتشار
-
Elsevier
موضوع
Order flow, Flight-to-quality, Economic conditions, Hedging, Liquidity, SMB
نوع
دوره ای
زبان
انگلیسی
دیجیتال
بله
نسخه خطی
خیر
کتابخانه
دانشگاه اوزیغین
شناسه دارایی کتابخانه
0378-4266
شماره ثبت
58135103-9656-407e-bbe9-34cca267652f
محل کتابخانه
International Finance
تاریخ
2017
یادداشتها
Due to copyright restrictions, the access to the full text of this article is only available via subscription.
متن نمونه
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
