International Equity Flows and the Predictability of U.S. Stock Returns

Hartmann, Daniel and Pierdzioch, Christian (2006): International Equity Flows and the Predictability of U.S. Stock Returns.

Abstract

We examined the link between international equity flows and U.S. stock returns. Based on the results of tests of in-sample and out-of-sample predictability of stock returns, we found evidence of a strong positive (negative) link between international equity flows and contemporaneous (one-month-ahead) stock returns. Our results also indicate that an investor, in real time, could have used information on the link between international equity flows and one-month-ahead stock returns to improve the performance of simple trading rules.

• Item Type: MPRA Paper
• Language: English
• Keywords: International equity flows; predictability of stock returns; performance of trading rules; the United States
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; F - International Economics > F3 - International Finance > F32 - Current Account Adjustment ; Short-Term Capital Movements

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