Flights to Safety
Lieven Baele (),
Geert Bekaert (),
Koen Inghelbrecht and
No 19095, NBER Working Papers from National Bureau of Economic Research, Inc
We identify flight-to-safety (FTS) days for 23 countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample, and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into government bond and money market funds. FTS represents flights to both quality and liquidity in international equity markets, but mainly a flight-to-quality in the US corporate bond market. Emerging markets, endowment funds, and hedge funds all perform poorly during FTS, while hedge funds appear to vary their systematic exposures prior to a FTS.
JEL-codes: E43 E44 G11 G12 G14 (search for similar items in EconPapers)
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Published as Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei & Andrew Karolyi, 2020. "Flights to Safety," The Review of Financial Studies, vol 33(2), pages 689-746.
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Journal Article: Flights to Safety (2020)
Working Paper: FLIGHTS TO SAFETY (2019)
Working Paper: Flights to Safety (2014)
Working Paper: Flights to Safety (2012)
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