International equity flows and the predictability of US stock returns

Daniel Hartmann and Christian Pierdzioch
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Christian Pierdzioch: Department of Economics, Saarland University, Saarbruecken, Germany, Postal: Department of Economics, Saarland University, Saarbruecken, Germany

Journal of Forecasting, 2007, vol. 26, issue 8, pages 583-599

Abstract: 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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Related works:
Working Paper: International Equity Flows and the Predictability of U.S. Stock Returns (2006)
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