Investor Flows and Stock Market Returns
Journal of Empirical Finance, Vol. 16, No. 1, pp. 87-100, 2011
35 Pages Posted: 13 May 2011
Date Written: May 11, 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.
Keywords: stock market, stock price, investor flow, mutual fund, pension fund, foreign investors
JEL Classification: G10, G20, G12
Suggested Citation: Suggested Citation