Investor Flows and Stock Market Returns
Brian H. Boyer
Brigham Young University - J. Willard and Alice S. Marriott School of Management
University of California, Irvine - Paul Merage School of Business
May 11, 2011
Journal of Empirical Finance, Vol. 16, No. 1, pp. 87-100, 2011
This study simultaneously analyzes the relation between aggregate stock market returns and cash flows (net purchases of equity) from a broad array of investor groups in the United States over a long period of time from 1952 to 2004. We find strong evidence that quarterly flows are auto-correlated for each of the different investor groups. We further document a significant and positive contemporaneous relation between stock market returns and flows of Mutual Funds and Foreign Investors.
Number of Pages in PDF File: 35
Keywords: stock market, stock price, investor flow, mutual fund, pension fund, foreign investors
JEL Classification: G10, G20, G12Accepted Paper Series
Date posted: May 13, 2011
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