Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

Stephen Brown (), William Goetzmann, Takato Hiraki (), Niroyoshi Shiraishi () and Masahiro Watanabe
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Takato Hiraki: International University of Japan - Graduate School of International Managemen
Niroyoshi Shiraishi: Rikkyo University - School of Social Relations

Yale School of Management Working Papers from Yale School of Management

Abstract: We find evidence that is consistent with the hypothesis that daily mutual fund flows may be instruments for investor sentiment about the stock market. We use this finding to construct a new index of investor sentiment, and validate this index using data from both the United States and Japan. In both markets exposure to this factor is priced, and in the Japanese case, we document evidence of negative correlations between

Keywords: Investor Sentiment; Mutual Fund Flows; Bull and Bear Funds (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2002-09-01
New Economics Papers: this item is included in nep-dev, nep-fin, nep-fmk and nep-rmg
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Citations: View citations in EconPapers (13)

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Related works:
Working Paper: Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows (2008)
Working Paper: Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows (2008)
Working Paper: Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:ysm24

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