In this article, the authors find significant positive returns over a forward one-month holding period for strategies that buy in countries that have attracted indirect investment via equity fund flows and sell in countries that have not. They find that the profitability of these strategies is independent of the momentum effect as well as the size effect.
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.
