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Table 1 Summary statistics

From: Corporate managers, price noise and the investment factor

 

Mean

Median

SD

Min

Max

NFLOWS (%)

0.59

0.50

0.85

 − 2.94

3.85

NSR (%)

0.64

0.56

0.67

 − 1.18

3.61

NEIO (%)

 − 0.05

 − 0.02

0.33

 − 2.41

2.23

FTS

0.03

0.00

0.09

0.00

0.59

Mkt-RF

0.65

1.16

4.45

 − 23.24

12.47

CMA_LO

1.12

1.63

4.81

 − 25.44

14.27

CMA

0.26

0.10

2.02

 − 6.88

9.58

R_IA

0.31

0.29

1.94

 − 7.16

9.24

CMA_HI

0.86

1.39

5.52

 − 27.83

14.12

  1. The table presents the summary statistics of the equity fund flows, the market excess return and the other factor portfolio returns used in the study. The sample period ranges from February 1984 to December 2015, covering a total of 383 months, Fund flows are calculated based on data from the Investment Company Institute (ICI). The following fund categories are included: domestic equity, international equity, and mixed funds. The equity market returns are value-weighted returns of NYSE, Amex, and Nasdaq stocks from the Center for Research in Security Prices (CRSP). The net flows of the equity funds and their components are normalized each month by the previous month's fund assets value: NFLOWS is the normalized net flows (in %). NSR is the normalized net sales ("new sales" minus "redemptions") in %. NEIO is the normalized "net exchanges" ("exchanges in" minus "exchanges out") in %. FTS is based on the daily flight-to-safety dummy of Bekaert et al. (2019) and transformed to derive a monthly indicator, which provides information about the fraction of FTS days within the month. Mkt-RF is the excess market return, the value-weighted returns of NYSE, Amex, and Nasdaq stocks from the Center for Research in Security Prices (CRSP) over 30-day T-bill return in %. CMA_LO is the average return on the two conservative investment portfolios. CMA_HI is the average return on the two aggressive investment portfolios. Conservative Minus Aggressive (CMA) is the average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios. R_IA is the investment factor of Hou et al. (2015)