Flight-to-quality, economic fundamentals, and stock returns
dc.contributor.author | Kaul, A. | |
dc.contributor.author | Kayaçetin, Volkan | |
dc.date.accessioned | 2017-07-11T10:06:52Z | |
dc.date.available | 2017-07-11T10:06:52Z | |
dc.date.issued | 2017 | |
dc.identifier.issn | 0378-4266 | en_US |
dc.identifier.uri | http://hdl.handle.net/10679/5443 | |
dc.identifier.uri | http://www.sciencedirect.com/science/article/pii/S037842661730081X | |
dc.description | Due to copyright restrictions, the access to the full text of this article is only available via subscription. | |
dc.description.abstract | We find that the order flow differential (OFD), a flight-to-quality measure constructed as the difference between large- and small-cap stock order flows, strongly and negatively forecasts output growth and interest rates in the U.S. The predictive ability of OFD for future macroeconomic fundamentals is robust to the inclusion of return factors and business cycle predictors, and it is thus a state variable candidate in the spirit of Merton (1973). Consistent with this view, we document that OFD commands a statistically significant negative risk premium in cross-sectional asset pricing tests. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Elsevier | en_US |
dc.relation.ispartof | Journal of Banking & Finance | en_US |
dc.rights | restrictedAccess | |
dc.title | Flight-to-quality, economic fundamentals, and stock returns | en_US |
dc.type | Article | en_US |
dc.peerreviewed | yes | en_US |
dc.publicationstatus | published | en_US |
dc.contributor.department | Özyeğin University | |
dc.contributor.authorID | (ORCID 0000-0001-7441-8053 & YÖK ID 202115) Kayaçetin, Volkan | |
dc.contributor.ozuauthor | Kayaçetin, Volkan | |
dc.identifier.volume | 80 | en_US |
dc.identifier.startpage | 162 | en_US |
dc.identifier.endpage | 175 | en_US |
dc.identifier.wos | WOS:000405045000010 | |
dc.identifier.doi | 10.1016/j.jbankfin.2017.04.003 | en_US |
dc.subject.keywords | Order flow | en_US |
dc.subject.keywords | Flight-to-quality | en_US |
dc.subject.keywords | Economic conditions | en_US |
dc.subject.keywords | Hedging | en_US |
dc.subject.keywords | Liquidity | en_US |
dc.subject.keywords | SMB | en_US |
dc.identifier.scopus | SCOPUS:2-s2.0-85018789237 | |
dc.contributor.authorMale | 1 | |
dc.relation.publicationcategory | Article - International Refereed Journal - Institutional Academic Staff |
Files in this item
Files | Size | Format | View |
---|---|---|---|
There are no files associated with this item. |
This item appears in the following Collection(s)
Share this page