RT Journal Article
SR Electronic
T1 Fund Flows as Country Allocator
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 87
OP 95
DO 10.3905/jai.2018.21.3.087
VO 21
IS 3
A1 Srimurthy, Vikram K.
A1 Shen, Steven
A1 Smalbach, Matthew
YR 2018
UL http://jai.pm-research.com/content/21/3/87.abstract
AB In this article, the authors find significant positive returns over a forward one-month holding period for strategies that buy in countries that have attracted indirect investment via equity fund flows and sell in countries that have not. They find that the profitability of these strategies is independent of the momentum effect as well as the size effect.TOPICS: Global, information providers/credit ratings, analysis of individual factors/risk premia, performance measurement