Investor Flows and Stock Market Returns

Journal of Empirical Finance, Vol. 16, No. 1, pp. 87-100, 2011

35 Pages Posted: 13 May 2011

See all articles by Brian H. Boyer

Brian H. Boyer

Brigham Young University - J. Willard and Alice S. Marriott School of Management

Lu Zheng

University of California, Irvine - Paul Merage School of Business

Date Written: May 11, 2011

Abstract

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.

Keywords: stock market, stock price, investor flow, mutual fund, pension fund, foreign investors

JEL Classification: G10, G20, G12

Suggested Citation

Boyer, Brian H. and Zheng, Lu, Investor Flows and Stock Market Returns (May 11, 2011). Journal of Empirical Finance, Vol. 16, No. 1, pp. 87-100, 2011. Available at SSRN: https://ssrn.com/abstract=1838594

Brian H. Boyer

Brigham Young University - J. Willard and Alice S. Marriott School of Management ( email )

Provo, UT 84602
United States

Lu Zheng (Contact Author)

University of California, Irvine - Paul Merage School of Business ( email )

Paul Merage School of Business
Irvine, CA California 92697-3125
United States
9498248365 (Phone)

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