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 onequarter-ahead predictions.