Sökning: "Ludwig Bergenstråhle"

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  1. 1. Fund Flow Risk and Cross-Sectional Asset Prices

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Ludwig Bergenstråhle; Johannes Nordqvist; [2015]
    Nyckelord :Asset pricing; Mutual fund flows; Price pressure; Institutional trading;

    Sammanfattning : This paper documents that stocks whose historical excess returns have comoved more with mutual fund flows-have a higher fund flow beta (FFB)-earn higher future excess returns than otherwise similar stocks. We propose two hypotheses to explain this finding: First, funds may hedge the variance in their AUM by underweighing stocks with a high FFB, hence reducing the price of those stocks in equilibrium. LÄS MER