International Equity Flows and the Predictability of U.S. Stock Returns

Daniel Hartmann and Christian Pierdzioch

MPRA Paper from University Library of Munich, Germany

Abstract: We 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.

Keywords: International equity flows; predictability of stock returns; performance of trading rules; the United States (search for similar items in EconPapers)
JEL-codes: G11 E44 F32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets, nep-mac and nep-rmg
Date: 2006-02, Revised 2006-04
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Related works:
Journal Article: International equity flows and the predictability of US stock returns (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:562

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