Advanced search
1 file | 793.38 KB Add to list

Flights to safety

(2020) REVIEW OF FINANCIAL STUDIES. 33(2). p.689-746
Author
Organization
Abstract
We identify flight-to-safety (FTS) days for twenty-three countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into government bond and money market funds. FTS represents flights to both quality and liquidity in international equity markets, but mainly a flight to quality in the U.S. corporate bond market. Emerging markets, endowment funds, and hedge funds perform poorly during FTS, whereas hedge funds appear to vary their systematic exposures prior to an FTS.
Keywords
HEDGE FUNDS, MARKET, RISK, LIQUIDITY, STOCK, QUALITY, RETURN, UNCERTAINTY, PRICES

Downloads

  • (...).pdf
    • full text (Published version)
    • |
    • UGent only
    • |
    • PDF
    • |
    • 793.38 KB

Citation

Please use this url to cite or link to this publication:

MLA
Baele, Lieven, et al. “Flights to Safety.” REVIEW OF FINANCIAL STUDIES, vol. 33, no. 2, 2020, pp. 689–746.
APA
Baele, L., Bekaert, G., Inghelbrecht, K., & Wei, M. (2020). Flights to safety. REVIEW OF FINANCIAL STUDIES, 33(2), 689–746.
Chicago author-date
Baele, Lieven, Geert Bekaert, Koen Inghelbrecht, and Min Wei. 2020. “Flights to Safety.” REVIEW OF FINANCIAL STUDIES 33 (2): 689–746.
Chicago author-date (all authors)
Baele, Lieven, Geert Bekaert, Koen Inghelbrecht, and Min Wei. 2020. “Flights to Safety.” REVIEW OF FINANCIAL STUDIES 33 (2): 689–746.
Vancouver
1.
Baele L, Bekaert G, Inghelbrecht K, Wei M. Flights to safety. REVIEW OF FINANCIAL STUDIES. 2020;33(2):689–746.
IEEE
[1]
L. Baele, G. Bekaert, K. Inghelbrecht, and M. Wei, “Flights to safety,” REVIEW OF FINANCIAL STUDIES, vol. 33, no. 2, pp. 689–746, 2020.
@article{8607743,
  abstract     = {We identify flight-to-safety (FTS) days for twenty-three countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into government bond and money market funds. FTS represents flights to both quality and liquidity in international equity markets, but mainly a flight to quality in the U.S. corporate bond market. Emerging markets, endowment funds, and hedge funds perform poorly during FTS, whereas hedge funds appear to vary their systematic exposures prior to an FTS.},
  author       = {Baele, Lieven and Bekaert, Geert and Inghelbrecht, Koen and Wei, Min},
  issn         = {0893-9454},
  journal      = {REVIEW OF FINANCIAL STUDIES},
  keywords     = {HEDGE FUNDS,MARKET,RISK,LIQUIDITY,STOCK,QUALITY,RETURN,UNCERTAINTY,PRICES},
  language     = {eng},
  number       = {2},
  pages        = {689--746},
  title        = {Flights to safety},
  url          = {http://dx.doi.org/10.1093/rfs/hhz055},
  volume       = {33},
  year         = {2020},
}

Altmetric
View in Altmetric
Web of Science
Times cited: