Essays about: "Ludwig Bergenstråhle"
Found 1 essay containing the words Ludwig Bergenstråhle.
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1. Fund Flow Risk and Cross-Sectional Asset Prices
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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
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