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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27432
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| Title: | Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows |
| Authors: | Brown, Stephen J.
Goetzmann, William N.
Hiraki, Takato
Shiraishi, Noriyoshi
Watanabe, Masahiro |
| Issue Date: | 6-Mar-2002 |
| Series/Report no.: | SC-AM-02-02 |
| 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 “Bull” and “Bear” domestic funds. The
flows to bear foreign funds in Japan display some evidence of negative
correlation to domestic and foreign equity funds, suggesting that there
is a foreign vs. domestic sentiment factor in Japan that does not appear
in the contemporaneous U.S. data. By contrast, U.S. mutual fund
investors appear to regard domestic and foreign equity mutual funds as
economic substitutes. |
| URI: | http://hdl.handle.net/2451/27432 |
| Appears in Collections: | Asset Management
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