Forecasting Crashes: Correlated Fund Flows and Skewness in Stock Returns
利用共同基金资金流之间的相关性来预测股票收益的偏度，发现资金流相关性越高的股票越容易发生崩盘，且该关系对大小公司均成立。
This article uses the correlation of money flow among mutual funds to forecast the skewness of stock returns. We develop the Flow Driven Skewness measure and show that it is significantly related to future skewness of stock returns. Stocks with higher correlation between their mutual fund owners’ money flow are therefore more “crash prone.” The relation between Flow Driven Skewness and future firm-level skewness is especially important for the largest and the smallest firms in the sample, and remains true for all levels of skewness. The findings are robust to alternative drivers of skewness in stock returns, as well as the choice of calculation, empirical methodology, and sample period.