EPFR Papers: Estimating asymmetric price impact
This paper studies the asymmetric price impacts mutual fund and ETF flows have on individual stocks in demand-based asset pricing.
Papers
A rising tide lifts some (Japanese) boats: The Bank of Japan’s ETF purchases and their impact on market signals for individual stocks
The Bank of Japan has been the pace-setter among central banks when it comes to purchasing non-government financial securities. It was the first...
Oil bonds still have fuel in the tank – but how long will it last?
Fixed income markets are abuzz about the spectacular demand for new green bonds. Flows into fixed income funds with socially responsible investing...
China Evergrande – Fixed on its fate
The fate of China’s Evergrande, the second-largest developer in China by sales, could have a knock-on effect on China’s real estate sector and the...
Keeping your hand in the game with a new stock level tool
EPFR has developed a new tool. Stock Barometer, to help at the individual security level. Organized around a range of well-known indexes, these...
SRI/ESG: Recent trends for emerging markets funds
2020 was a special year from a mutual fund flows and allocation data perspective. This paper covers the reactions to Covid, China, US elections and...
EPFR Papers: China: Should it be in an asset class of its own?
Our latest technical paper discusses China as an asset class from the perspective of the EPFR China Flows and Positioning datasets. China Share...
The global evolution of low-volatility investment in asset management
Asset managers are responding to this demand. According to data from Informa Financial Intelligence’s EPFR, by mid-2Q19 there were 204...
Fund flows as country allocator
In this article, the authors find significant positive returns over a forward one-month holding period for strategies that buy in countries that...