International Equity Flows and the Predictability of U.S. Stock Returns
AbstractWe examined the link between international equity flows and U.S. stock returns. Based on the results of tests of in-sample and out-of-sample predictability of stock returns, we found evidence of a strong positive (negative) link between international equity flows and contemporaneous (one-month-ahead) stock returns. Our results also indicate that an investor, in real time, could have used information on the link between international equity flows and one-month-ahead stock returns to improve the performance of simple trading rules.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 562.
Date of creation: Feb 2006
Date of revision: Apr 2006
International equity flows; predictability of stock returns; performance of trading rules; the United States;
Other versions of this item:
- Daniel Hartmann & Christian Pierdzioch, 2007. "International equity flows and the predictability of US stock returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(8), pages 583-599.
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-12 (All new papers)
- NEP-ETS-2006-11-12 (Econometric Time Series)
- NEP-MAC-2006-11-12 (Macroeconomics)
- NEP-RMG-2006-11-12 (Risk Management)
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