The paper explores whether the co-movement of market returns and equity fundflows can be explained by a common response to macroeconomic news. I findthat variables that predict the real economy as well as the equity premium arerelated to mutual fund flows. Changes in dividend-price ratio explain...

This paper investigates the returns and °ows of German money marketfunds before and during the liquidity crisis of 2007/2008. The main¯ndings of this paper are: in liquid times, money market funds en-hanced their returns by investing in less liquid papers. By doing sothey outperformed other...

This paper introduces Schumpeter’s idea of creative destruction into asset pricing.The key point of our model is that small and value firms are more likelydestroyed during technological revolutions, resulting into higher expected returnsfor these stocks. A two-factor model including market...

This paper investigates the returns and flows of German money marketfunds before and during the liquidity crisis of 2007/2008. The mainfindings of this paper are: In liquid times money market funds enhancedtheir returns by investing in less liquid papers. By doing so they outperformedother funds...