Investor flows and stock market returns |
| |
Authors: | Brian Boyer Lu Zheng |
| |
Affiliation: | 1. Brigham Young University, Provo, UT-84602, United States;2. The Paul Merage School of Business, University of California at Irvine, Irvine, CA 92697-3125, United States |
| |
Abstract: | This study simultaneously analyzes the relation between aggregate stock market returns and cash flows (net purchases of equity) from a broad array of investor groups in the United States over a long period of time from 1952 to 2004. We find strong evidence that quarterly flows are autocorrelated for each of the different investor groups. We further document a significant and positive contemporaneous relation between stock market returns and flows of Mutual Funds and Foreign Investors. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|