International equity flows and the predictability of US stock returns
Daniel Hartmann and
Christian Pierdzioch
Journal of Forecasting, 2007, vol. 26, issue 8, 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.
Date: 2007
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Working Paper: International Equity Flows and the Predictability of U.S. Stock Returns (2006) 
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:26:y:2007:i:8:p:583-599
DOI: 10.1002/for.1045
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