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dc.contributor.authorKaul, A.
dc.contributor.authorKayaçetin, Volkan
dc.date.accessioned2017-07-11T10:06:52Z
dc.date.available2017-07-11T10:06:52Z
dc.date.issued2017
dc.identifier.issn0378-4266en_US
dc.identifier.urihttp://hdl.handle.net/10679/5443
dc.identifier.urihttp://www.sciencedirect.com/science/article/pii/S037842661730081X
dc.descriptionDue to copyright restrictions, the access to the full text of this article is only available via subscription.
dc.description.abstractWe 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.isoengen_US
dc.publisherElsevieren_US
dc.relation.ispartofJournal of Banking & Financeen_US
dc.rightsrestrictedAccess
dc.titleFlight-to-quality, economic fundamentals, and stock returnsen_US
dc.typeArticleen_US
dc.peerreviewedyesen_US
dc.publicationstatuspublisheden_US
dc.contributor.departmentÖzyeğin University
dc.contributor.authorID(ORCID 0000-0001-7441-8053 & YÖK ID 202115) Kayaçetin, Volkan
dc.contributor.ozuauthorKayaçetin, Volkan
dc.identifier.volume80en_US
dc.identifier.startpage162en_US
dc.identifier.endpage175en_US
dc.identifier.wosWOS:000405045000010
dc.identifier.doi10.1016/j.jbankfin.2017.04.003en_US
dc.subject.keywordsOrder flowen_US
dc.subject.keywordsFlight-to-qualityen_US
dc.subject.keywordsEconomic conditionsen_US
dc.subject.keywordsHedgingen_US
dc.subject.keywordsLiquidityen_US
dc.subject.keywordsSMBen_US
dc.identifier.scopusSCOPUS:2-s2.0-85018789237
dc.contributor.authorMale1
dc.relation.publicationcategoryArticle - International Refereed Journal - Institutional Academic Staff


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