EconPapers    
Economics at your fingertips  
 

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
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1002/for.1045 Link to full text; subscription required (text/html)

Related works:
Working Paper: International Equity Flows and the Predictability of U.S. Stock Returns (2006) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:26:y:2007:i:8:p:583-599

DOI: 10.1002/for.1045

Access Statistics for this article

Journal of Forecasting is currently edited by Derek W. Bunn

More articles in Journal of Forecasting from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().

 
Page updated 2025-01-07
Handle: RePEc:jof:jforec:v:26:y:2007:i:8:p:583-599