A flow-based explanation for return predictability

By Dong Lou. 2012

606 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/27582863340f3e8f129a4e75ea4e2e78e3a7ad87

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Citations in the corpus

Asset Prices and Institutional Investors (2013, background): “Recently, the link between institutional fund flows and momentum has been established theoretically by Vayanos and Woolley (2010) and empirically by Lou (2009).”
Asset Price Dynamics with Slow-Moving Capital (2010, background): “…propose a model in which each investment decision determines not only consumption levels and asset positions, but also sets an optimal “time out” during which the investor will focus attention on other activities, without making the effort to consider investment and consumption opportunities.”
Limits of Arbitrage (2010, unknown): “As Sections 3.4 and 3.5 emphasize, arbitrageurs face financial constraints stemming from agency 16Reputation concerns are also explored in Dasgupta & Prat (2008), and Malliaris & Yan (2009).”
Inequality, stock market participation, and the equity premium (2013, unknown): “Lou (2010) estimates that mutual funds held only 2.”
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010, background): “Nagel (2009), Lou (2009), and Rinne and Suominen (2010) offer additional evidence on return reversals due to price pressure, as suggested in the theory of Weill (2007).”
Information Percolation, Momentum and Reversal (2014, unknown): “In contrast, mutual fund flows chase past performance and further exacerbate market anomalies (Akbas, Armstrong, Sorescu, and Subrahmanyam, 2014; Lou, 2009).”
Risk Shifting and Mutual Fund Performance (2010, unknown): “Lou (2009) finds that fund flows can predict future stock returns due to flow-driven trades by the mutual funds and that the flow-based return predictability can account for mutual fund performance persistence.”
Do ETFs Increase Volatility? (2018, unknown): “This effect is similar to that of mutual fund flows on the prices of the portfolio holdings (Coval and Stafford, 2007; Lou, 2012).”