Cross-stock market spillovers through variance risk premiums and equity flows
“In addition, we show that increases in the size of US VRP, DRP and JRP tend to significantly reduce weekly equity fund flows to all other AEs and some EMEs during the post-GFC period.”
AssetEquities
StrategyVolatility risk premium
GeographyGlobalUS
FrequencyDaily
Also stated: Flows and holdings
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodVolatility risk premium by year
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