Panel A: CMA_LO | (1) | (2) | (3) | (4) | (5) | (6) | (7) |
|---|
INTERCEPT | 0.01 | 0.19 | 1.22*** | 1.46*** | 1.02*** | 0.92** | 1.50*** |
NFLOWSt | 2.42*** | | | | | | |
NSRt | | 1.86*** | | | | | |
NEIOt | | | | 8.69*** | | | |
FTS | | | | | | | − 15.08*** |
MeanNSR2-4 | | | − 0.15 | | | 0.19 | |
MeanNEIO2-4 | | | | | − 3.32*** | − 3.56*** | |
Adj. R2 | 16.2% | 6.3% | 0.0% | 28.1% | 1.2% | 1.0% | 7.3% |
Panel B: CMA_HI | (1) | (2) | (3) | (4) | (5) | (6) | (7) |
|---|
INTERCEPT | − 0.36 | − 0.09 | 1.06*** | 1.26*** | 0.71** | 0.64* | 1.27*** |
NFLOWSt | 2.65*** | | | | | | |
NSRt | | 1.90*** | | | | | |
NEIOt | | | | 10.22*** | | | |
FTS | | | | | | | − 16.28*** |
MeanNSR2-4 | | | − 0.34 | | | 0.13 | |
MeanNEIO2-4 | | | | | − 4.80*** | − 4.96*** | |
Adj. R2 | 14.8% | 4.9% | 0.0% | 29.6% | 2.0% | 1.8% | 6.5% |
- 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. Conservative Minus Aggressive (CMA) is the average return on the two conservative investment portfolios (CMA_LO) minus the average return on the two aggressive investment portfolios (CMA_HI). 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
