Flights to Safety

• 成果类型: Article
• 署名作者: Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min
• 署名单位: Tilburg University; Columbia University; National Bureau of Economic Research; Ghent University; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz055
• 发表日期: 2020
• 页码: 689
• 关键词: HEDGE FUNDS; MARKET; RISK; liquidity; STOCK; QUALITY; return; uncertainty; prices

摘要

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.