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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; 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 - 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 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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Asset Allocations and Risk-Return Tradeoffs of Target-Date Funds
Pang, Gaobo - 2009
This stochastic simulation analysis examines the risk characteristics of target-date funds focusing on the trade …. The risk-return tradeoffs associated with equity exposure, particularly for workers approaching retirement, underscore the … importance of full disclosure, realistic assessment of risk tolerance and participant behavior, and due consideration of income …
Persistent link: https://www.econbiz.de/10013158197
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Causality between equity mutual fund flows, stock market return and volatility : Indian evidence
Kaur, Inderjit; Vagrecha, Kamal - In: International journal of business and globalisation : IJBG 35 (2023) 1/2, pp. 88-106
Persistent link: https://www.econbiz.de/10014388713
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Nonlinear dynamic relations between equity return and equity fund flow : Korean market empirical evidence
Kim, Sei-Wan; Kim, Youngmin - In: Asia-Pacific journal of financial studies 39 (2010) 2, pp. 139-170
Persistent link: https://www.econbiz.de/10009315273
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The performance of equity mutual funds during bull and bear markets
Bello, Zakri; DeRidder, Jerome J. - In: Global journal of finance and banking issues 5 (2011) 5, pp. 13-26
Persistent link: https://www.econbiz.de/10009268659
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Time aspects of a fund manager appraisal
Ivin, Evgeny A.; Kurbatskiy, Alexey N.; Slovesnov, … - In: International journal of computational economics and … 4 (2014) 1/2, pp. 96-111
Persistent link: https://www.econbiz.de/10010411208
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Cointegration and causality analysis of dynamic linkage between stock market and equity mutual funds in Australia
Sasipa Pojanavatee - In: Cogent economics & finance 2 (2014) 1, pp. 1-17
The existing literature finds conflicting results on the magnitude of price linkages between equity mutual funds and the stock market. The study contends that in an optimal lagged model, the expectations of future prices using knowledge of past price behaviour in a particular equity mutual fund...
Persistent link: https://www.econbiz.de/10010469413