FLIGHTS TO SAFETY

Lieven Baele (), Geert Bekaert, Koen Inghelbrecht and Min Wei

Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium from Ghent University, Faculty of Economics and Business Administration

Abstract: 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

Keywords: Flight-to-Safety; Flight-to-Quality; Stock-Bond Return Correlation; Liquidity; Hedge Funds (search for similar items in EconPapers)
JEL-codes: E43 E44 G11 G12 G14 (search for similar items in EconPapers)
Pages: 76 pages
Date: 2019-03
New Economics Papers: this item is included in nep-fmk, nep-mac and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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http://wps-feb.ugent.be/Papers/wp_19_968.pdf (application/pdf)

Related works:
Journal Article: Flights to Safety (2020)
Working Paper: Flights to Safety (2014)
Working Paper: Flights to Safety (2013)
Working Paper: Flights to Safety (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:rug:rugwps:19/968

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