Does the Net Flow of Funds Help to Predict the S&P 500 Index?

Thomas A. Carnes ； Michael Mosebach ； Mohammad Najand

《Advances in Financial Planning and Forecasting》 3期 (2008/03) Pp. 193-209

https://doi.org/10.6292/AFPF.2008.03.08

並列摘要

Although there is considerable evidence that stock returns are predictable, both individually and in aggregate, prior investigations as to whether share prices are significantly affected by demand shocks have mixed results. We extend prior research on this issue by testing the forecasting ability of five univariate and two multivariate models with respect to the S&P 500 Index. We hypothesize that the multivariate dynamic regression and state-space models, which incorporate both previous prices and current equity mutual fund flows, will result in more accurate predictions of future stock prices than univariate models. Our results support our hypothesis, both for one-month-ahead and one-quarter-ahead predictions.

並列關鍵字

Dynamic regression ； State space ； Random walk ； Exponential smoothing

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