Panel A: Mkt-RF | (1) | (2) | (3) | (4) | (5) | (6) | (7) |
|---|
INTERCEPT | − 0.35 | − 0.11 | 0.76 | 0.99*** | 0.55** | 0.43 | 0.98*** |
NFLOWSt | 2.18*** | | | | | | |
NSRt | | 1.53*** | | | | | |
NEIOt | | | | 8.57*** | | | |
FTS | | | | | | | − 13.14*** |
MeanNSR2-4 | | | − 0.15 | | | 0.21 | |
MeanNEIO2-4 | | | | | − 3.53*** | − 3.78*** | |
Adj. R2 | 15.3% | 4.9% | 0.0% | 32.0% | 1.6% | 1.4% | 6.5% |
Panel B: CMA | (1) | (2) | (3) | (4) | (5) | (6) | (7) |
|---|
INTERCEPT | 0.37*** | 0.28** | 0.16 | 0.20* | 0.31*** | 0.27** | 0.23** |
NFLOWSt | − 0.23** | | | | | | |
NSRt | | − 0.04 | | | | | |
NEIOt | | | | − 1.53*** | | | |
FTS | | | | | | | 1.20 |
MeanNSR2-4 | | | 0.20 | | | 0.06 | |
MeanNEIO2-4 | | | | | 1.48** | 1.40** | |
Adj. R2 | 0.6% | 0.0% | 0.1% | 4.7% | 1.3% | 1.1% | 0.0% |
Panel C: R_IA | (1) | (2) | (3) | (4) | (5) | (6) | (7) |
|---|
INTERCEPT | 0.41*** | 0.32*** | 0.18 | 0.25** | 0.37*** | 0.30** | 0.27*** |
NFLOWSt | − 0.21* | | | | | | |
NSRt | | − 0.02 | | | | | |
NEIOt | | | | − 1.46*** | | | |
FTS | | | | | | | 1.45 |
MeanNSR2-4 | | | 0.26** | | | 0.12 | |
MeanNEIO2-4 | | | | | 1.62*** | 1.47*** | |
Adj. R2 | 0.5% | 0.0% | 0.4% | 4.7% | 1.9% | 1.7% | 0.2% |
- The table presents the coefficients from the time-series regressions of NFLOWS, NSR and NEIO, and the flight-to-safety (FTS) indicator on the respective factor portfolio returns. The sample period 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 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 %. MEANNEIO2-4 (MEANNSR2-4) is the average of NEIO (NSR) lags from period t − 2 to t − 4. FTS is based on the daily flight-to-safety dummy of Baele et al. (2020) 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 %. 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). Coefficients are corrected for any persistence of the single regressor according to Amihud and Hurvich (2004) or Amihud et al. (2008) for multiple persistent regressors. Simulated p-values are computed as in Boudoukh et al. (2007), via 10,000 simulations under the null of zero predictability, but accounting for the regressors’ auto-correlation, cross-correlations and the cross-correlation of the errors
- ***, **, *Statistical significance at the 1%, 5% and 10% level, respectively
