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International equity flows and the predictability of US stock returns

  • Daniel Hartmann

    (Department of Economics, Saarland University, Saarbruecken, Germany)

  • Christian Pierdzioch

    (Department of Economics, Saarland University, Saarbruecken, Germany)

We examined the link between international equity flows and US 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. Copyright © 2007 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1045
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 26 (2007)
Issue (Month): 8 ()
Pages: 583-599

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Handle: RePEc:jof:jforec:v:26:y:2007:i:8:p:583-599
DOI: 10.1002/for.1045
Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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