Flight-to-quality, economic fundamentals, and stock returns

Name: Flight-to-quality, economic fundamentals, and stock returns
Author: Kaul, A., Kayaçetin, Volkan

İsim	Flight-to-quality, economic fundamentals, and stock returns
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

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Flight-to-quality, economic fundamentals, and stock returns

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