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The dynamics of market volatility, market return, and equity fund flow: International evidence
16 references·1 citing·47 second hop
The dynamics of market volatility, market return, and equity fund flow: International evidence (2014)The dynamics of market volatility, market…The flow-performance relationship around the world (2012)The flow-performance relation…Asset Fire Sales and Purchases and the International Transmission of Funding Shocks (2012)Asset Fire Sales and Purchase…Measuring investor sentiment with mutual fund flows (2010)Measuring investor sentiment …Mutual fund flows and investor returns: An empirical examination of fund investor timing ability (2007)Mutual fund flows and investo…Asset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…Aggregate price effects of institutional trading: a study of mutual fund flow and market returns (2001)Aggregate price effects of in…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Volatility Timing in Mutual Funds: Evidence from Daily Returns (1999)Volatility Timing in Mutual F…Investor flows and the assessed performance of open-end mutual funds (1999)Investor flows and the assess…Aggregate mutual fund flows and security returns (1995)Aggregate mutual fund flows a…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…Expected stock returns and volatility (1987)Expected stock returns and vo…Are Forecasting Models Usable for Policy Analysis? (1986)Are Forecasting Models Usable…Alternative Explanations of the Money-Income Correlation (1986)Alternative Explanations of t…On estimating the expected return on the market (1980)On estimating the expected re…Macroeconomics and Reality (1980)Macroeconomics and RealityEquity fund flows, market returns, and market risk: evidence from China (2018)Equity fund flows, market ret…Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Risk, Return, and Equilibrium: Empirical Tests (1973)On the Impossibility of Informationally Efficient Markets (1980)On Persistence in Mutual Fund Performance (1997)On the Timing Ability of Mutual Fund Managers (2001)Short-Term Persistence in Mutual Fund Performance (2004)Payoff complementarities and financial fragility: Evidence from mutual fund outflows (2010)Do Demand Curves for Stocks Slope Down? (1986)Permanent and Temporary Components of Stock Prices (1988)Investor Sentiment and the Closed-End Fund Puzzle (1991)Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Credit Rationing in Markets with Imperfect Information (1981)Time to Build and Aggregate Fluctuations (1982)Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors (1993)Chapter 2 Monetary policy shocks: What have we learned and to what end? (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Expected Stock Returns and Variance Risk Premia (2009)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Industry costs of equity (1997)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Dumb money: Mutual fund flows and the cross-section of stock returns (2008)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Fire Sales in Finance and Macroeconomics (2011)What Does Monetary Policy Do? (1996)Oil price shocks and stock market activity (1999)What are the effects of fiscal policy shocks? (2009)
this work references cited by second hop

References

  • 1980Macroeconomics and Reality12,826 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 1986Alternative Explanations of the Money-Income Correlation1,501 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 1986Are Forecasting Models Usable for Policy Analysis?1,224 cited
  • 1995Aggregate mutual fund flows and security returns734 cited
  • 1999Investor flows and the assessed performance of open-end mutual funds731 cited
  • 2001Aggregate price effects of institutional trading: a study of mutual fund flow and market returns401 cited
  • 1999Volatility Timing in Mutual Funds: Evidence from Daily Returns389 cited
  • 2012Asset Fire Sales and Purchases and the International Transmission of Funding Shocks379 cited
  • 2010Measuring investor sentiment with mutual fund flows374 cited
  • 2012The flow-performance relationship around the world316 cited

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2007
Mutual fund flows and investor returns: An empirical examination of fund investor timing ability
231 cited

Cited by

  • 2018Equity fund flows, market returns, and market risk: evidence from China23 cited