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Investor flows and stock market returns

  • Boyer, Brian
  • Zheng, Lu
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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.

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File URL: http://www.sciencedirect.com/science/article/B6VFG-4STYTT8-1/2/2114ed280afffecfd1f4d0ad1f149bb6
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 16 (2009)
Issue (Month): 1 (January)
Pages: 87-100

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Handle: RePEc:eee:empfin:v:16:y:2009:i:1:p:87-100
Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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