Essays about: "Ludwig Bergenstråhle"

Found 1 essay containing the words Ludwig Bergenstråhle.

  1. 1. Fund Flow Risk and Cross-Sectional Asset Prices

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ludwig Bergenstråhle; Johannes Nordqvist; [2015]
    Keywords : Asset pricing; Mutual fund flows; Price pressure; Institutional trading;

    Abstract : This paper documents that stocks whose historical excess returns have comoved more with mutual fund flows-have a higher fund flow beta (FFB)-earn higher future excess returns than otherwise similar stocks. We propose two hypotheses to explain this finding: First, funds may hedge the variance in their AUM by underweighing stocks with a high FFB, hence reducing the price of those stocks in equilibrium. READ MORE