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Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean Analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016
The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...
Persistent link: https://www.econbiz.de/10011482859
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Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016
Persistent link: https://www.econbiz.de/10011536693
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Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016
The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...
Persistent link: https://www.econbiz.de/10011479824
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Equity Fund Flows and Stock Market Returns in the US Before and After the Global Financial Crisis : A VAR-GARCH-in-mean Analysis
Babalos, Vassilios - 2016
The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...
Persistent link: https://www.econbiz.de/10012987395
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Equity Fund Flows and Stock Market Returns in the US Before and After the Global Financial Crisis : A VAR-GARCH-In-Mean Analysis
Babalos, Vassilios - 2016
The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...
Persistent link: https://www.econbiz.de/10012990997
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Equity fund flows and stock market returns in the USA before and after the global financial crisis : a VAR-GARCH-in-mean analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - In: Empirical economics : a quarterly journal of the … 60 (2021) 2, pp. 539-555
Persistent link: https://www.econbiz.de/10012490280
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Selectivity, market timing and the Morningstar star-rating system
Antypas, Antonios; Caporale, Guglielmo Maria; … - 2009
-rating system ; CAPM ; conditional and unconditional portfolio performance evaluation …
Persistent link: https://www.econbiz.de/10003823971
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Selectivity, market timing and the morningstar star-rating system
Antypas, Antonios; Caporale, Guglielmo Maria; … - 2009
Persistent link: https://www.econbiz.de/10003817128
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Persistence in US interest rates : is it stable over time?
Caporale, Guglielmo Maria (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003739798
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Evaluating greek equity funds using data envelopment analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2009
Persistent link: https://www.econbiz.de/10003838911