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

被引：6

作者：

Kaul, Aditya ^{[1
]}

Kayacetin, Nuri Volkan ^{[2
]}

机构：

[1] Univ Alberta, Sch Business, 2-32 G Business Bldg, Edmonton, AB T6G 2R6, Canada

[2] Ozyegin Univ, Fac Econ Sci, Nisantepe Mah Orman Sok 34-36, TR-34794 Istanbul, Turkey

来源：

JOURNAL OF BANKING & FINANCE | 2017年 / 80卷

关键词：

Order flow; Flight-to-quality; Economic conditions; Hedging; Liquidity; SMB; MARKET LIQUIDITY; BUSINESS-CYCLE; REGRESSION RESIDUALS; SERIAL INDEPENDENCE; EFFICIENT TESTS; ORDER IMBALANCE; CROSS-SECTION; RISK-FACTORS; US; HOMOSCEDASTICITY;

D O I：

10.1016/j.jbankfin.2017.04.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：162 / 175

页数：14

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