The Market Demand Curve for Common Stocks: Evidence from Equity Mutual Fund Flows
研究股票的市场需求曲线是否向下倾斜，利用股票型共同基金流动作为总需求代理变量，发现基金流动受股市表现和企业基本面预期驱动，而非直接产生价格压力，支持水平需求曲线。
We examine whether the market demand curve for equities is dawnward sloping. Unlike previous studies that examine individual stocks' demand curves, we look at the aggregate demand curve. As a proxy for aggregate demand, we employ equity mutual fund flows. Unlike previous studies that focus on events that are unlikely to convey new information to the market, we devise an empirical framework that disentangles the price-pressure effect and the information effect. We do not find evidence for the price-pressure effect that equity fund flows directly affect stock market prices in the presence of fundamentals of firms. Instead, we find that equity fund flows seem to be influenced by the performance of the stock market and that investors try to forecast fundamentals of firms and change their demand for stocks accordingly. Overall, these findings are with a horizontal market demand curve for equities.