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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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