| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19095 |
| 来源ID | Working Paper 19095 |
| Flights to Safety | |
| Lieven Baele; Geert Bekaert; Koen Inghelbrecht; Min Wei | |
| 发表日期 | 2013-05-31 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We identify flight-to-safety (FTS) days for 23 countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample, and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into government bond and money market funds. FTS represents flights to both quality and liquidity in international equity markets, but mainly a flight-to-quality in the US corporate bond market. Emerging markets, endowment funds, and hedge funds all perform poorly during FTS, while hedge funds appear to vary their systematic exposures prior to a FTS. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w19095 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576770 |
| 推荐引用方式 GB/T 7714 | Lieven Baele,Geert Bekaert,Koen Inghelbrecht,et al. Flights to Safety. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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