Flights to safety

Lieven Baele, G.R.J. Bekaert, K. Inghelbrecht, Min Wei

Research output: Contribution to journalArticleScientificpeer-review

Abstract

We identify flight-to-safety (FTS) days for twenty-three countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into government bond and money market funds. FTS represents flights to both quality and liquidity in international equity markets, but mainly a flight to quality in the U.S. corporate bond market. Emerging markets, endowment funds, and hedge funds perform poorly during FTS, whereas hedge funds appear to vary their systematic exposures prior to an FTS.
Original languageEnglish
Pages (from-to)689-746
JournalThe Review of Financial Studies
Volume33
Issue number2
Early online dateJun 2019
DOIs
Publication statusPublished - Feb 2020

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Baele, L., Bekaert, G. R. J., Inghelbrecht, K., & Wei, M. (2020). Flights to safety. The Review of Financial Studies, 33(2), 689-746. https://doi.org/10.1093/rfs/hhz055