Journal of Banking & Finance · Vol.80·JULY 2017

安全投资转移，经济基本面和股票收益

作者：Aditya Kaul(University of Alberta School of Business, School of Business, University of Alberta, Canada), Nuri Volkan Kayacetin (Faculty of Economics of Sciences, Ozyegin University, Turkey)

摘要：我们发现，衡量安全投资转移的指标——订单流量差异（OFD）与美国产出增长和利率有着显著的负相关关系。订单流量差异是大盘股和小盘股的订单流量之差。在包含回报因子和经济周期预测时，OFD的对未来宏观经济基本面的预测能力仍然是稳健的，因此它是默顿（1973）状态变量的一个备选。与此观点相一致，我们发现OFD在横截面资产定价检验中有着显着为负的风险溢价。

关键词：订单流量，安全投资转移，经济条件，对冲，流动性，市值因子

Flight-to-quality, economic fundamentals, and stock returns

Aditya Kaul(University of Alberta School of Business, School of Business, University of Alberta, 2-32 G Business Building, Edmonton T6G2R6, Alberta, Canada), Nuri Volkan Kayacetin (Faculty of Economics of Sciences, Ozyegin University, Nisantepe Mah. Orman Sok. No 34-36, Alemdag/Cekmekoy, 34794, Istanbul, Turkey)

ABSTRACT

We find that the order flow differential (OFD), a flight-to-quality measure constructed as the difference between large- and small-cap stock order flows, strongly and negatively forecasts output growth and interest rates in the U.S. The predictive ability of OFD for future macroeconomic fundamentals is robust to the inclusion of return factors and business cycle predictors, and it is thus a state variable candidate in the spirit of Merton (1973). Consistent with this view, we document that OFD commands a statistically significant negative risk premium in cross-sectional asset pricing tests.

Keywords: Order flow, Flight-to-quality, Economic conditions, Hedging; Liquidity, SMB

原文链接：

http://www.sciencedirect.com/science/article/pii/S037842661730081X

翻译：贾梦悦