Yazar
Kaul, A., Kayaçetin, Volkan
Basım Tarihi
2017
Basım Yeri
-
Elsevier
Konu
Order flow, Flight-to-quality, Economic conditions, Hedging, Liquidity, SMB
Tür
Süreli Yayın
Dil
İngilizce
Dijital
Evet
Yazma
Hayır
Kütüphane
Özyeğin Üniversitesi
Demirbaş Numarası
0378-4266
Kayıt Numarası
58135103-9656-407e-bbe9-34cca267652f
Lokasyon
International Finance
Tarih
2017
Notlar
Due to copyright restrictions, the access to the full text of this article is only available via subscription.
Örnek Metin
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
